Hey, I'm a member of the FEKM (European Federation of Krav Maga). We do have a black belt exam (which I'm taking this sunday, wish me luck !) and above. The founder of the FEKM, Richard Douieb, is a 6th dan black belt. That's the higher grade of our federation.
When you pass the black belt exam, you're considered an expert in the discipline. In lower grade, you're expected to learn the techniques and master them. When you pass the black belt in the FEKM, it is the same techniques as before in the lower belts but executed perfectly : with control, precision and speed. At this point, you normally have a 5 years experience in Krav Maga. And what differenciate a black belt from lower grades is the questioning. When you're an expert with a black belt, you have sufficient knowledge to question yourself about every details and the efficiency of the techniques in the reality. You start creating our own Krav Maga style. That's my point of view.
The FEKM also offers exam from 1st dan black to the 5th.