Wiring a panel kilovoltmeter

You're correct. Keep in mind that power, temperature and voltage ratings will be critical in your application, and if you intend to run the resistor hot it may need to be derated in voltage - read the datasheet carefully. For 2.5kV I'd be using a resistor or resistors that can handle twice that. Say, with 1kV resistors I'd use 5 of them in series, with their value 1/5th of the total you need, and each one will be also dissipating 1/5th of the total power. Typically you'd want to keep the resistor dissipation in the steady state no higher than 50% of the resistor's rating.

Here's a schematic of the voltage divider for the kilovoltmeter.

R5 is a must to keep 2.5 kV from floating near the panel, should the voltmeter coil open for some reason.