You can't see this port open because Valheim uses a proprietary protocol and you can't just check if the port is open with port scanner sites because it won't answer a default TCP or UDP query (see the port checker site as a German speaker and Valheim as a English speaker and both of them can't speak the others language, they simply can't communicate with each other - really oversimplified... ).
You are trying this from you internal network or am I wrong? Have you setup NAT reflection in your UDM (sorry I don't own any Ubiquiti gear and don't know if there is an option for that in there).
Have you already tried it from outside your internal network (please do this first since this is a really common issue)?
Do you try to connect with your public IP?
Also please make sure that you just open the ports 2456, 2457, 2458 UDP (only UDP, not TCP not TCP/UDP, only UDP).
No because you have to forward the mentioned above 3 ports, please also read the second recommended post that you can find on top of this thread, eventually this helps.