The SharePoint Connector for Confluence has to be installed and configured in Confluence Cloud (neither the app itself nor the app settings will be migrated). How to achieve this see Confluence: Install App (Cloud).
After the migration all instances of SharePoint Connector for Confluence macros will be present on the migrated pages and the macro settings (especially selected SharePoint documents respectively lists) will also be available.
No Support for SharePoint Server (on-premise)
Classic Style Macro Rendering in Page Edit Mode
In Confluence Cloud at page edit mode macros typically are rendered in a modern style. For SharePoint Connector for Confluence macros the modern style includes a preview of the embedded SharePoint document respectively list:
Image 1: Modern Style Macro Preview in Page Edit Mode (click to enlarge)
For migrated pages, however, the macros are rendered in the "classic style" (like they are at Confluence Server respectively Data Center):
Image 2: Classic Style Macro in Page Edit Mode for a Migrated Page (click to enlarge)
This applies not only to migrated macro instances but also to newly added ones.
Fallbacks for not yet Supported Features
Document Macro: Display Option "Responsive View"
For a migrated page, if in the original page the Display Option "Fixed View" or "Responsive View" was configured for a macro then in the migrated page the configured Display Option will be "Embed".
List Macro: Default View
In SharePoint Connector for Confluence Server/DC the default view configured for a list in SharePoint is applied the same for the SharePoint List macro in Confluence.SharePoint Connector for Confluence Cloud does not yet support this feature, i.e. there are always displayed the columns Title/Name, Modified and Modified By.