Not sure how UEFI's "Compatibility Service Module" works exactly but if it acts like the original BIOS did, it's just a chunk of code that can be called, either by a program or be set as the destination for interrupts.

But there is no "VM exit" mechanism like there is in hypervisors. One thing a hypervisor does is intercept IO address accesses and does them on behalf of the client code (without the code knowing), don't think the CSM is doing this.