Preconditions
SharePoint Connector for Confluence must be installed and configured in Confluence Cloud (neither the app itself nor its settings will be migrated). See: Confluence: Installation and Licensing (Cloud) on how to achieve this.
Recommended Approach
Use the Confluence Cloud Migration Assistant for the migration itself.
After the migration, all instances of SharePoint Connector for Confluence macros will appear on the migrated pages, and the macro settings (especially the selected SharePoint documents and their respective lists) will also be available.