KMK's debug output is written to CircuitPython's serial console -- the one that's used for the REPL -- and is automatically enabled if it detects a connection to that console. It can also be enabled manually, though that shouldn't be necessary in general:
keyboard.debug_enabled = TrueFollow for example Adafruit's beginners guide on how to connect to the serial console. For Linux users, we recommend picocom or screen