  The local magnetic susceptibility of the spin-triplet superconductor UTe$_2$
has been investigated by positive muon ($\mu^+$) Knight shift measurements in
the normal state. Three distinct $\mu^+$ Knight shift components are observed
for a magnetic field applied parallel to the $c$ axis. Two of these exhibit a
breakdown in the linear relationship with the bulk magnetic susceptibility
($\chi$) below a temperature $T^* \! \sim \! 30$ K, which points to a gradual
emergence of a correlated Kondo liquid. Below $T_{\rm r} \! \sim \! 12$ K
linearity is gradually restored, indicating partial relocalization of the Kondo
liquid quasiparticles. The third Knight shift component is two orders of
magnitude larger, and despite the $c$-axis alignment of the external field,
scales with the $a$-axis $\chi$ above $T_{\rm r} \! \sim \! 12$ K. We
conjecture that this component is associated with magnetic clusters and the
change in the temperature dependence of all three Knight shift components below
$T_{\rm r}$ is associated with a change in magnetic correlations. Our findings
indicate that prior to the onset of superconductivity the development of the
itinerant heavy-electron fluid is halted by a gradual development of local U
$5f$-moment fluctuations.
