Also check:
ls -ld ~/'Library/Application Support/Keyboard Maestro'
which would be the permissions of the folder itself which may well be the issue.
Failing that, do this:
- Launch Keyboard Maestro
- File ➤ Quick Engine
- Quit Keyboard Maestro
- Move the ~/Library/Application Support/Keyboard Maestro folder to your desktop (make sure it moves, not copies, which it could do if the permissions are incorrect).
- Launch Keyboard Maestro. It will create a new folder, with new permissions. Make a change to the default macros (rename one), quit and relaunch Keyboard Maestro and verify the change has stuck.
- File ➤ Quick Engine
- Quit Keyboard Maestro
- Open the newly created ~/Library/Application Support/Keyboard Maestro folder, trash the contents.
- Copy the contents of the Keyboard Maestro folder on your desktop to the newly created, newly emptied Keyboard Maestro folder.
- Launch Keyboard Maestro. Make a change to the default macros (rename one), quit and relaunch Keyboard Maestro and verify the change has stuck.
Make a backup copy of the original Keyboard Maestro folder (I suggest control click on it and Compress it), to ensure it is safe while you mess around.