I thought I'd document this in a separate topic, in case anyone else encounters this problem.
After applying the macOS Catalina 10.15.7 update (and I'm reasonably certain the update caused my problem), I had problems with macros that used any form of "Find Image".
There's lots of things to check for, but for me, when I looked at System Preferences>Security & Privacy>Screen Recording, I saw an entry for "Keyboard Maestro", but not for "Keyboard Maestro Engine".
Eventually I figured this might be the problem, so in the KM Editor, I used File>Quit Engine and File>Launch Engine to restart the engine. The OS quickly asked me if I wanted "Keyboard Maestro Engine" to have access to Screen Recording, and of course I said "Yes". That solved the problem.
But I encountered a strange thing while trying to debug this problem, before I fixed the permission issue. I had the KM Editor open, and I made a temporary macro that used the Screen Capture action. Then I used "Try" to run the macro. It actually did do a screen capture. Looking back on it now, I would think this should have failed, since the Engine didn't have Screen Recording rights. But oddly enough, it worked. Not sure why.
Anyway, I hope this helps. No, actually, I hope nobody else has to encounter this issue at all.