UTM tags are only appended when the post is served on a sponsored manner ( when the grey Sponsored text is visible). You can check the UTM tags by following the steps below.
Go to relevant ad on Business Manager and click on Desktop News Feed Preview (or any placement, you might get a mobile notification if it is on mobile native).
2. See the "Sponsored" text with the post.
3. Check the card URL (check left bottom side of the page to see the UTMs are actually appended).