The vector $\mathbf{u}_{\lambda}$ is assumed to be normalized.
Then I want to understand How these two conditions are satisfied?
$$
\begin{aligned}
&\sum_{k} u_{k \kappa}^{*} u_{k \lambda}=\delta_{\kappa \lambda} \\
&\sum_{\kappa} u_{k \kappa}^{*} u_{l \kappa}=\delta_{k l}
\end{aligned}
$$
For more detail on this problem check [See equation 3 & 3' page of this file]1
$M$ is positive definite, therefore it has orthogonal set of eigenvectors. Since we assume them to be normalized, the matrix $ U = [ \mathbf{u}_1, \mathbf{u}_2, ... , \mathbf{u}_n]$ (we treat columns as vectors) is orthonormal. The first formula (U^*U = I) comes from the definition:
This makes $U^* = U^{-1}$, therefore $UU^* = I$. Take element-wise complex conjugate and you get the second formula.