Alright, this kinda bugged me when I thought about it, and I'm hoping someone might explain.

The center Borg is a Klingon, which you'll note from the cranial ridges. This means that the Borg, have at some point, assimilated a group of Klingons. That means the Borg have possibly come into contact with cloaking technology, something the Federation does not use due to the Treaty of Algeron. Now, given that the Klingons never signed such an agreement, that means the Borg could have possibly obtained the device and then mounted it aboard a Cube or even a Sphere. Should this happen, it's possible that the Borg could slip past long-range sensors and arrive in Federation territory without being detected, giving them numerous options. Should the Borg attack Earth, the Federation would have little to no chance to mount an emergency defense fleet, as we saw them do in VOY: Endgame. By the time reinforcements arrived, the Borg could possibly have landed drones and begun assimilating the planet, meaning the Federation would need to destroy the cube and then deal with any drones on the ground. And that's just one cube. Should the Borg wise up and send multiple ships, each armed with cloak, there'd be no stopping them.
Now, let's assume that the Borg do not have the cloak. How would they go about obtaining it? I'd either send a cube or several spheres into Klingon or Romulan territory, though from the way the encounters usually go, I believe that both may be on the other side of the Federation from the Borg. But at the same time, the Borg have transwarp, and could possibly send forces all the way to the other side of the two respective empires. Their goals would be to try and attack any world with a shipyard or take a ship and assimilate it. The goal is to get their hands on a working cloaking device. A shipyard would be better because it's possible to beam onto an empty ship, where a Klingon ship with a crew might put up resistance and even self-destruct. Once they have the cloaking device, they analyze it as fast as possible, then transmit the information back to the Delta Quadrant. The goal is simple: Get the technology. All other goals are secondary. If the Klingons can be assimilated, go for it, but that cloak has numerous uses beyond just the conquest of the Federation.