It is not so mysteriously, since computer can use \EFI\Microsoft\Boot\bootmgfw.efi which file is exactly equal to the normal efi bootfile \EFI\Boot\bootx64.efi
I have used booting from USB with UEFI Grub4dos and not tried yet booting from internal EFI drive
I tried to use UEFI Grub4dos on internal EFI Drive, but indeed it fails to boot with Grub4dos and boots straight with Windows.
But I must say I can only try in UEFI Secure mode and probably UEFI Grub4dos is not compatible with Secure mode.
I replaced EFI\Boot\org-bootx64.efi with UEFI Grub4dos BOOTx64.EFI renamed as org-bootx64.efi
I can boot in UEFI Secure mode from USB and select in Grub2 Menu org-bootx64 to boot UEFI Secure with Grub4dos Menu