Directly from the built-in help/admin guide:

UPS Device Support

Uninterruptible Power Supply (UPS) devices maintain a continuous supply of electric power to connected equipment by supplying power from a separate source when utility power is not available. Sophos UTM supports UPS devices of the manufacturers MGE UPS Systems and APC. The communication between the UPS device and Sophos UTM is made via the USB interface.

As soon as the UPS device runs in battery operation, a notification is sent to the administrator. If the power failure persists for a longer period and the voltage of the UPS device approximates a critical value, another message will be sent to the administrator—Sophos UTM will be shut down automatically.

Note – Please read the operation manual of the UPS device to connect the devices to Sophos UTM. UTM will recognize the UPS device when booting via the USB interface. Only boot Sophos UTM when you have connected the USB interfaces to each other.

Thank you.
But I had two SG 230 UTM in HA mode I hope the ha link tell the slave to shutdown also when UPS sent critical power message to primary UTM via USB

Interesting, when I first got my UTM I posed the same question to support. This was the response"

The power monitoring feature through the USB connected via UPS is not available on sophos UTM. as well as there is no UI feature is available to configure it.

as the required information has provided I am closing this service request today.Please feel free to contact us in case if you required any further assistance.

I'd be curious if you have connected a UPS, and run a test to see if it is infact able to shut itself down?

I've used UTMs with APC UPSs before and they worked quite well, although I never tried in HA. The message you got is correct that there is no configuration possible or GUI. It either works or it doesn't.

All I am concerned about is the ability for the unit to shut itself down, which you say it can?

What about when power is restored, does it fire itself up or is it capable of WOL?

Make certain that in the bios it is set for last state, then you should be good.

Scott_Klassen, you stated that  "If the power failure persists for a longer period and the voltage of the UPS device approximates a critical value, another message will be sent to the administrator—Sophos UTM will be shut down automatically."

I assume that should be the amount of battery time remaining?

Also, what is the "critical value"? My UTM install reports the battery life (via USB), but when the power failed this weekend the UTM didn't initiate a shutdown until the battery power was critical. Is this threshold configurable?

Found this in the System log (search string "ups"):

/var/log/system/2016/04/system-2016-04-02.log.gz:2016:04:02-23:54:18 utm upsmon[3320]: UPS running on battery

Hi to All

UTM supports all models of APC ?