I just opened a subject related to this: OpenWrt 22.03 build - kernel modules compiling BUT missing in install image - #2 by bolemo
Seems like even with CONFIG_NFT_DUP_IPV4=y, CONFIG_NFT_DUP_IPV6=y, CONFIG_NF_DUP_IPV4=y, CONFIG_NF_DUP_IPV6=y, the produced image does not include the kernel modules (they get lost between the building directory and he staging directory.
But adding manually the kernel modules works 