When trying to install OS in Hyper-V, it ignores boot order and goes to "Start PXE over IPv4" instantly

Try disabling Secure boot in the "Security" section of the settings.

I had the same problem with a gen2 Linux vm (running in Hyper-V Manager 10.0.17763.1). Turning off "Enable Secure Boot" allowed booting from an .iso. I think in some other versions of Hyper-V Manager the setting is under "Firmware"

Just go into VM Settings / Firmware and change the boot order by moving the VHDX image to the top.

Changing to Generation 2 VM is not necessary.

Worked for me:

1. Create a new VM.
2. A "New Virtual Machine Wizard" will start.
3. During step 3 - "Specify Generation", choose "Generation 1" (see screenshot: https://photos.app.goo.gl/Fh5SyioYxmuQ1Dvw6)