How to make NumLock/numpad cursor keys work on an external USB keyboard?
OS X does not understand 'Num lock'. There's no on-off state for Num lock in OS X and as such can be thought to be always on.

The Num lock button itself on a Windows keyboard is interpreted as Clear in OS X. You are able to bind this to actions in Keyboard Maestro, but a 'state switch' would essentially require saving a variable in Keyboard Maestro to be checked when a button is pressed, then intercepting the action and providing its own key press.