All your macros are stored locally.
Communication with our servers happens for weekly version checks, and for Remote triggers. Both of these happen over https.
Keyboard Maestro has a build in web server which may be enabled, and which allows communications to/from it, and between Keyboard Maestro instances (since as sending clipboards between Macs), but it is off by default.
If you use macro syncing, then your sync file is synced through whatever service you use (not through our servers, since we do not offer a file syncing service - we might one day but that is not how it currently works).