I stumbled on this restriction again, and dug a bit deeper in the issue.
It appears that the hardware is not limiting the baudrate, but the M5Stack library. More specifically, M5.begin();
Luckily, you can skip the UART init, and do it yourself like this:

M5.begin(true,true,false);
Serial.begin(2000000);
Serial.flush();

And now it works for 2000000 baud.

Can somebody confirm that the maximum "Serial" speed is limited to 500000 baud?
As soon I set it to 1000000 or 2000000 it stops outputting to the console.
I have another ESP32 board, which is using a CH340 as UART-USB bridge, and this one is working fine on 2000000 baud.
Is it a limitation of the CP210x chip used in the M5Stack?
I'm using a M5Stack Grey.

Working:

void setup() {
M5.begin();
Serial.begin(500000);

Not working:

void setup() {
M5.begin();
Serial.begin(2000000);

Thanks!