Solution 1:

Before you begin

I've noticed a slow down since installing WSL2, so I'd first recommend that you take a snapshot and compare performance before / after running WSL2. Perhaps WSL1 will better suit your needs. VMware doesn't seem keen to publish performance metrics of virtualising Intel VT-x/EPT.

Install Windows Subsystem for Linux

dism.exe /online /enable-feature /featurename:Microsoft-Windows-Subsystem-Linux /all /norestart

Enable Virtual Machine Platform

dism.exe /online /enable-feature /featurename:VirtualMachinePlatform /all /norestart

Enable Intel VT-x/EPT

Reboots have been disabled by /norestart above, so power down and enable Intel VT-x:

Settings -> Hardware -> Processors -> Virtualise Intel VT-x/EPT

Note again the advice from this page:

[...]it will slow down your VM tremendously[...]

Set default WSL version 2

For new installs:

wsl --set-default-version 2

For an existing install (eg, ubuntu)

wsl --set-version Ubuntu 2

Troubleshooting

If you get a WSL hexadecimal error, update the kernel. I got this error before enabling VT-x/EPT, so maybe you won't bump into it.

I didn't record the error that required the kernel update, so please either edit this answer or post the error message in the comments.