From more recent Help files:
To [sync macros], you need a file location that is mirrored on both Macs. Dropbox or a similar service is good for this, or you can use a shared file server, although you must ensure it is available at all times to both Macs.
It works out of the box in the sense that the capability is built in. But, yes, there has to be some "shared file server" in order for multiple Macs to have up-to-date access to the file which stores a user's macros. Dropbox-type services (iCloud, Box, Google Drive, etc.) are what most people are likely to have, rather than an in-house file server (which would work). For Keyboard Maestro to perform the task independently would require resources and responsibilities which are understandably not tasks taken on lightly.