The ESP32 has a bluetooth stack, but the manufacturer (EspressIf) is still finishing their software implementation to manage it.
It's not a limitation of the M5 hardware, it's just that the existing Arduino libraries are dependent on the processor's specific hardware registers in order to function. Until EspressIf finishes their work and publishes it, support for Bluetooth on any ESP32 based platform will be limited.
If you use PlatformIO instead of the Arduino IDE, you could potentially use EspressIf's Dev Platform but you wouldn't be able to use the M5Stack Libraries without some work.
The Bluetooth hardware options have really been expanding lately, but the software side needs to catch up.