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.
KMK has a convenient debug utility that adds a timestamp in milliseconds since boot and a message origin to distinguish subsystems to debug statements.
from kmk.utils import Debug
# Create a debug source with the current file as message origin
debug = Debug(__name__)
# For completeness: Force enable/disable debug output. This is handled
# automatically -- you will most likely never have to use this:
# debug.enabled = True/False
# KMK idiomatic debug with guard clause
var = 'concatenate'
if debug.enabled:
debug('Arguments ', var, '!')
Follow for example Adafruit's beginners guide on how to connect to the serial console. For Linux users, we recommend picocom or screen