Con mia sorpresa non sei il primo ad avere il problema, il web è pieno.

Ho trovato un link in cui dicevano:
Some BIOS manufacturers have a separate save action for user preferences. This could be because the boot order is maybe considered to be user preferences by those BIOS manufacturers. It does make it a bit confusing as they also have a regular option called 'Save and Exit' or 'Save and Reset' which don't seem to save the boot order preferences.
After you make the change to the boot order it is simply not sufficient to 'Save and Exit' or 'Save and Reset'. You need to first save the changes as User Defaults and then any one of the above 2 options. Boot back in to the BIOS and you should see the boot order stick to what you wanted.