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What I do to install Tools on Kali:
cp -rp /media/cdrom0 /tmp
Thank you @ScottN8 for the tips.
It gave me an idea. Here is how I made it work:
Start Kali VM
On first screen (the Grub), select Advanced...
Same issue here, on both ARM64 and AMD64 Kali.
modprobe: FATAL: Module prl_tg not found in directory /lib/modules/5.18.0-kali2-arm64