Is there a need for using Kali in a VM enviroment, wouldn’t a Kali Live USB do just as well ?
Probably, but you increase complexity a little bit.
There are some boxes where you absolutely want to be able to do stuff in a different environment and a Windows host OS makes this trivial. It doesn’t mean you have to have a VM, it is just easier.
But at a very basic level, if you know what you are doing and would rather run Kali from a USB then that is fine.
Some people use their normal every-day OS rather than a VM. Some people have dedicated environments etc. The choice is pretty much yours.
You do need to be able to download an OpenVPN config file and establish a network connection to the HTB servers over the VPN. You will probably want to be able to persist data between sessions so being able to write to the USB is essential.
Other than that, as long as you are happy in making sure the tooling will work as intended (because peer support tails off as you move away from a more “mainstream” configuration), then do what you want.