The answers here citing the need for an active TB cable are wrong. Also: It's not just 3rd party cables.
NO Thunderbolt cables will allow an M1 iPad Pro and an Macbook Pro M1 Pro or M1 Max laptop to connect. The connection repeatedly connects and drops. The iPad never shows up in Finder. My iPad Pro never shows up in network preferences (I have a cellular model).
I have tried with Apple's own TB3 cable. I have tried with an active Anker TB4 cable. I have tried with passive CableMatters cables. NONE of them work.
I have tried on my personal 16" Macbook Pro M1 Max. I have tried on my company 14" Macbook Pro M1 Pro.
I have tried removing all VPN profiles, disconnecting my folio keyboard, and resetting Network Settings on the iPad. Nothing works.
This problem is specific to the Macbook Pro M1 machines with the iPad Pro M1. When I tried connecting my M1 iPad Pro to an Intel-based Macbook Pro (16" 2019), Thunderbolt cables work just fine.
The only way to connect an iPad Pro M1 to a Macbook Pro M1 is via a normal USB-C 3.1 cable, such as the charging cable that comes with the iPad Pro. These work, and the iPad show up in System Report on the USB hub.
This is a bug, and Apple needs to address it.
This bug is still present as of iPadOS 15.2 / macOS 12.1.