I can confirm this problem: the Ethical Hacker UTM VM does not boot on M2.
Solution / Workaround: The problem occurs only on ARM M2 based macOS computers. The UTM VM works on ARM M1. On ARM M2 the VM stops at the UEFI shell and does not boot Kali. However, one can manually boot the Kali VM by typing in the following command:
fs0:\efi\kali\grubaa64.efi