I have created a bootable usb thumb drive using the HP USB Disk Storage Format Tool and confirmed that it works as expected on a Dell T5400: I am able to select it from the boot select menu and get to a DOS prompt.
The drive is 512MB FAT-formatted and I confirmed the single partition is marked active with Linux fdisk.
When I take this same thumb drive and try to boot from it on a recent Dell rack-mount server with different BIOS (AMI BIOS, looks similar to stock, not the Dell custom one), I get a message saying:
Reboot and select proper boot device...
which prints out repeatedly forever (assuming I make this the only boot option, otherwise it will fall back to the local disk). The drive is clearly detected by the BIOS, as it names it in the boot list.
I didn't see anything obvious on the Dell support website about a known issue like this. What else might be causing this boot problem?