The cause of this issue was Varnish's recommended VCL configuration for Magento that includes the following inside the sub vcl_recv {}.
# Remove all marketing get parameters to minimize the cache objects if (req.url ~ "(\?|&)(gclid|cx|ie|cof|siteurl|zanpid|origin|fbclid|mc_[a-z]+|utm_[a-z]+|_bta_[a-z]+)=") { set req.url = regsuball(req.url, "(gclid|cx|ie|cof|siteurl|zanpid|origin|fbclid|mc_[a-z]+|utm_[a-z]+|_bta_[a-z]+)=[-_A-z0-9+()%.]+&?", ""); set req.url = regsub(req.url, "[?|&]+$", ""); }That was literally subtracting all marketing-related GET parameters from the URL, including those starting with utm_.
Missing query string parameters when using Varnish on Magento 2021