That is because the other modules aren't loaded. The only ones listed are the ones that are built in.

You can see this if you grep CPU_FREQ /boot/config-6.6.9-amd64

CONFIG_CPU_FREQ_GOV_PERFORMANCE=y
CONFIG_CPU_FREQ_GOV_POWERSAVE=m
CONFIG_CPU_FREQ_GOV_USERSPACE=m
CONFIG_CPU_FREQ_GOV_ONDEMAND=m
CONFIG_CPU_FREQ_GOV_CONSERVATIVE=m
CONFIG_CPU_FREQ_GOV_SCHEDUTIL=y

Correct, but the point is the same config exists on kernel 6.5.0 and governor modules get loaded automatically anyway:

└─# grep CPU_FREQ /boot/config-6.5.0-kali3-amd64
CONFIG_ACPI_CPU_FREQ_PSS=y
CONFIG_CPU_FREQ=y
CONFIG_CPU_FREQ_GOV_ATTR_SET=y
CONFIG_CPU_FREQ_GOV_COMMON=y
CONFIG_CPU_FREQ_STAT=y
redacted
CONFIG_CPU_FREQ_DEFAULT_GOV_SCHEDUTIL=y
CONFIG_CPU_FREQ_GOV_PERFORMANCE=y
CONFIG_CPU_FREQ_GOV_POWERSAVE=m
CONFIG_CPU_FREQ_GOV_USERSPACE=m
CONFIG_CPU_FREQ_GOV_ONDEMAND=m
CONFIG_CPU_FREQ_GOV_CONSERVATIVE=m
CONFIG_CPU_FREQ_GOV_SCHEDUTIL=y

I'm currently using a cpufrequtils profile on boot to apply frequency scaling, it works on 6.5.0 but fails on 6.6.9 as the governors are not present. Don't know if its relevant, but I haven't enabled amd_pstate yet for any of those kernels.

Investigating the issue a bit by myself, found this message on Debian's bugtrack:

https://bugs.debian.org/cgi-bin/bugreport.cgi?bug=877016#49

So this is actually composed of two parts: cpufrequtils being deprecated, and kernel config changed on 6.6. I'd gladly move to cpupower, but there's still missing functionality on it. We still require modprobing governors (what I'm doing now, because of this issue) and cpupower doesn't provide systemd service and a documented example config as cpufrequtils does (and I actually sent a bug to them years ago on that one, understanding it's on their side: https://bugs.debian.org/cgi-bin/bugreport.cgi?bug=894906 )

I don't know what Kali developers think about this. Cpupower probably is the easy part.

Seems like you can get the systemd service and everything you need from Arch: https://gitlab.archlinux.org/archlinux/packaging/packages/linux-tools

Other than that, I really have no opinion on what should be done here, if anything.

As for now, CPU freq scaling at boot is broken without those files since cpufrequtils is not in repos anymore and doesn't work on 6.6 either. Still think this is on Debian side (maybe someone else could go pester them). But if there's not a solution already for next kernel release, could Kali provide this as a workaround? Cpupower alone seems capable of autoloading cpufreq governors itself.

Have you tried installing linux-cpupower?