r/TrueNAS: when i try to install a virtual machine sometimes i get this screen and cant get past it. what am i doing wrong?

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This article archives a conversation, which took place in a subreddit post (original source linked below) and to which I contributed a solution or answer (with the u/MasterofSynapse handle), in a Q&A format.

Original Reddit post: https://www.reddit.com/r/truenas/comments/ydz9x2/when_i_try_to_install_a_virtual_machine_sometimes/

Question

Answer

This UEFI shell comes up if the BIOS doesn't find any other source to boot from. That can have different reasons, e.g. you forgot to mount an ISO or you selected the wrong Secure Boot mode, so the BIOS expects Windows, but you try to start an Ubuntu ISO, which will fail because of the wrong Secure Boot certificate.