UTM links are urls that lead to your store app page, just like a regular link to your app. The difference is that UTM links also have additional parameters attached that can be used to track the source of the traffic. That will allow you to measure the effectiveness of your campaigns. If you provide a UTM link, it will be used when a user taps on your ad. Otherwise, a plain link to your store app page will be used.
Depending on whether your app is on Google Play or in the App Store, the UTM links will have different formats. Also, if your app is on Google Play, the statistics will be shown in Google Analytics. If your app is in the App Store, the statistics will be shown in App Store Connect.