Preconditions

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 see Confluence: Install App Installation and Licensing (Cloud). 

Recommended Approach

Use the Confluence Cloud Migration Assistant for the migration itself.

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.