The Canonical instructions are directing you to use a Preview version of WSL that is installable from the Microsoft Store. This is a relatively new (Fall of 2021) option.
When installed from the Store, the WSL system itself is separated from the Windows "WSL feature". The advantage of this is that Microsoft can update WSL without requiring an entirely new release of Windows. For instance, the Preview version includes the ability to utilize a Hyper-V bridged network device, instead of the normal NAT'd WSL2 network switch.
There are disadvantages, of course. A fairly major one, IMHO, is that you can no longer launch WSL when you are SSH'd into Windows. This is a feature I use quite often.
Which you installation technique you choose is up to you. I tend to prefer "Stable" and wait until new features are released, personally. But you may prefer the convenience and rapid updates that the Preview/Store version provides.
The VMP, as you may now realize, is needed by both the WSL2 feature that is shipped with Windows as well as the WSL2 feature provided by the Store/Preview App.
The WSL2 kernel, on the other hand, is included in the Store App. When installing through the Windows Feature, the kernel must be downloaded as a separate step.
