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”