Substance Painter generates a separate texture by each material. The screenshot shows a UDIM workflow since there are multiple textures for an object
Nothing in that screenshot indicates the usage of UDIMs, that's a plain standard Substance project with multiple materials. UDIMs are represented in Substance with a very specific way, with a dedicated icon with 9 small squares on the texture set list.
You are probably being confused by the naming convention used there, that looks *similar* to UDIM ( but not the same, since UDIMs have names like 1001, 1002, etc. ), but that's just because those materials were named as such when exported, maybe because they used some kind of automatic renaming of materials in the 3d editor.
But UDIM is another thing, it means support for UV coordinates outside the 0,0-1,1 space, which must be enabled by the graphic engine, usually in association with texture streaming ( the creation of a "virtual" texture with a huge size ), see here how they work in Unreal Engine, for example:
MSFS 2020 doesn't support UDIM but, you can surely have a single Substance project with as many materials as you want, that's what that screenshot is showing, which is something we have been using in years, even with P3D, even before PBR, so that's not the issue.
UDIM is just more flexible to use in Substance, because you can paint across UDIM ( you can't across multiple texture set ), or you can apply a layer or a filter that would affect several texture at once without duplicating it but, if you really want to use UDIM in MSFS, you surely can, just model using UVs outside 1,1 with each material using its own quadrant, export and use the UDIM workflow in Substance, and create MSFS materials using the Substance UDIM naming convention after they have been exported with an MSFS profile.