You need to ensure that Keyboard Maestro and Keyboard Maestro Engine are in the System Preferences ➤ Security & Privacy ➤ Accessibility settings.
Keyboard Maestro and Keyboard Maestro Engine, since version 6.2, both poke the system immediately on launch to make sure it knows they need to be in the list, and then the system prompts you to enable them.
Unfortunately, in the Yosemite GM builds (but, I believe, not in previous Yosemite betas), Apple broke something such that Keyboard Maestro Engine (and some other apps) are not properly added to the Accessibility panel.
To resolve this, until Apple fix it (they are at GM3 already, so who knows what they are doing), try control clicking on the Keyboard Maestro.app, select Show Package Contents, then drill down to the Contents, Resources folder and you’ll find the Keyboard Maestro Engine.app file. Unlock the System Preferences, Accessibility panel and drag the Keyboard Maestro Engine.app in. Make sure Keyboard Maestro and Keyboard Maestro Engine are listed and checked. That should hopefully resolve the problem.