Today found
this thread on the forum and it explains issue with Apple silicon and HiDPI resolutions on 5k2k displays. So considering U4021QW doesn't support full resolution at 60Hz via HDMI I guess even new M2 Pro/Max won't have better HiDPI options then my m2 air. According Apple site new MacBook Pros supports more then 6k via HDMI only)
BetterDisplay app helped me to solve the issue. I can use 3072x1296 HiDPI resolution now or I can create Dummy Which will mirror to my Dell monitor with few HiDPI options up to 3584x1512. Personally I found that ideal scaling is "looks like 3360x1417" which available on intel MacBooks, but unfortunately BetterDisplay doesn't show this option for my M2 air.
Conclusion: All Apple Silicon Macs can run maximum 3008x1269 HiDPI for 5k2k monitors. BetterDisplay helps to extend HiDPI scaling options.
I decided to stay with my M2 air because it performs well and BetterDisplay helped to get more space on Dell monitor in HiDPI mode. I hope M3 MacBook Pros will support higher max resolution via Thunderbolt or Apple will solve this issue in next versions of MacOS.
Just in case: Native resolution (5120x2160) is also available, but everything is too small, so I am not considering this is an option.