Any PNG file with transparency can be pasted into the icon field In a Keyboard Maestro macro.
Exactly the same as pasting an icon into a standard Mac Get Info window.
You can also copy and paste from one Keyboard Maestro icon field to another. So, once you've added one custom icon you can copy it from one macro to as many as you want.
There are plenty of free icons on the web and you can make your own in a graphics app like Photoshop. Just keep them small and square.
Open the PNG in Preview App and press Command+A to select all and then Command+C to copy. With that in the Clipboard go to your Keyboard Maestro macro, click the icon field and press Command+V to paste.
To make a blank icon (to remove the default Keyboard Maestro icon and leave an empty space on the left) paste in a PNG which is just transparent with no pixels. That will leave the icon area in the Palette blank making it easier to spot the icons you have given to your macros.
To have them display in the palette, you click on "Palette Style" in the Group and check "icon"