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It has Wi-Fi and Ethernet if that's any help

I'm afraid in that case you are missing 1 NIC. For the UTM you need to have at least 2 physical NIC's; 1 for internal and 1 for external.

The wifi is unusable for this.

Why would Wi-Fi not work? It's reliable Wi-Fi. Do you mean it needs two Ethernet ports? Are there many computers that have 2 Ethernet ports?

By the way the UTM sees both the Wi-Fi and Ethernet as Ethernet networks as I'm running it in a VM

The UTM is a specialized firewall that really needs at least 2 network cards. The wifi in most hardware setups is not supported at all in Sophos UTM. A very few of them could be supported as an access point, but still not as a connection to another wifi network, it's not functioning as a normal wifi card in your everyday computer.

Is that the case even in a VM?

No, in a VM you can create the UTM but then you can also create 2 NIC's using the virtualization software. You can then see both NIC's during setup and setup 1 as internal interface and the other as your external interface.

So in that case I do have 2 NICs? I did see them both during setup but I left the external WAN interface because I didn't know how to configure it.

I think in the interfaces screen that you showed us, you can in that case add another interface. Call it External (or WAN or whatever) and select the remaining NIC as the underlying hardware.

In the VM-host you need to connect this virtual NIC to your internet connection and you can configure it in the UTM just as you would with a normal router (or PC), I don't know your provider, so I don't know how to set that up exactly.

Can I set the UTM to automatically get the WAN settings from my Router. I use my ISP provided modem/router unit.