Have you used an oscilloscope to probe the line from the flight controller to VOXL2 to make sure the flight controller is sending data at the correct baudrate? Also note that the logic level of that UART connector on M0125 is 3.3V, I'm not sure if that matches the expected logic level of the port you are using on the CubeOrange.
Also note PX4 requires some serial port configuration. We normally use mavlink channel 1 with the Telem2 port on our flight core set to 921600 and 'onboard' mode. This translates to the following px4 param settings, note that yours will most likely be different due to using a different flight controller in a different configuration.
MAV_1_CONFIG 102
MAV_1_FORWARD 0
MAV_1_MODE 2
MAV_1_RATE 0
SER_TEL2_BAUD 921600