lightning payments don't create utxos

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They might if you don't have enough liquidity, they would need to enlarge your channel, right?

yes. channel management creates utxos, payments go through channels

Thought you had to open a channel to non custodial wallet?

to open a channel you create a utxo. and then you use it over and over again to receive.

channels create utxos (in most cases, they don't have to), payments don't.