To understand that the Utena movie is what happened to Utena after the series.
It's a fever dream of the major plot points. It's regret and guilt and despair. It resonates constantly with the whisper of the story of a person who tried to save someone and died in their place. It's a brittle-edged rewrite of everything that happened, except this time Utena knows from the start what she's up against, and this time Anthy will do anything - anything - to show her that she didn't fail.
The movie is Utena trapped in a tiny world of her own creation that is yet an echo of the world of Akio's creation. The movie is Anthy fulfilling her promise to find Utena and save her in turn. The movie is the reassurance that the series did not end in despair.
And I will fight to the death to defend the car thing. It's the whole point. Utena could never save Anthy by picking her up and carrying her out of there like an object. But she can make of herself a vehicle, and Anthy can choose to take the key and leave.
My introduction to Revolutionary Girl Utena was the clip of Adolescence of Utena where Utena and Anthy dance. However I mistook their reflections as their show appearances. Here's an exploration of that idea
I know we all kind of assume Anthy and Akio are Indian because of the brown skin and bindis (Google tells me that while it's less common, men do wear bindis sometimes), and I agree, but also. "Dios" is Spanish, "Anthy" is derived from a Greek word, "Himemiya" is Japanese (I would theorize that her name hasn't always been "Himemiya", though she does seem to have had the name "Anthy" as far back as we're allowed to see into her past), and Akio drives an American car and plays jazz (a style of music that developed in America) over the radio in said car. Also, despite bindis being a Hindu, Jain and Buddhist thing, all the religious shit the two of them have going on (the martyrdom, Akio drawing a comparison between himself and Satan, Ohtori looking like a fucked up Cathedral and Dios appearing to Utena in a church) is Pretty Christian.
I know all of this is probably just a product of the writers not having a concrete idea of where they wanted Akio and Anthy to be from other than "not here" but it implies a lot of travel, which does kind of fit with Dios' whole "trying to rescue Every Girl Ever" thing.
Where do their names come from, anyway? "Dios" sounds like it could have been a name given to him by the people he saved. We never hear hide nor hair of their parents, they're fully irrelevant even by the farthest flashback.