Some make sense as they're depreciated apps in 10.15 like MS Office 2011 and some Adobe apps still need to be updated. Other like Apple Mail, Apple Notes, Apple Messages, and Apple Contacts do not.
The ones with a "denied" symbol over them are as expected, the system puts that over the application icon if they are not compatible with the OS.
Catalina moves the system applications. Although they all appear to be in the one combined "Applications" folder, the system applications are actually no longer in /Applications, they are in /System/Applications. Keyboard Maestro 9 searches /System/Applications as well for icons, so it should find them.
They WERE in the icon chooser’s listing and once reselected, show in the palettes. A combo of software glitchiness during the update and not doing complete work on my part.