EDIT 2 - have heard back from HP - there is a note in the Release Notes for versions from 2.09 on saying you need to Apply Defaults from the File menu in BIOS. This fixed the problem.
It's only required for machines that have been upgraded from a pre-2.09 version - those delivered with 2.09 or higher will already have this done.
EDIT - I've struck this problem with BIOS firmware 2.14 & 2.15, but going to the next version back (2.06) results in success. Still not a fix as we need the higher BIOS level to overcome a USB keyboard/mouse lockout problem during preboot.
Further testing reveals the following:
- it doesn't seem to matter whether or not EFI Boot Sources are enabled
- disabling (F5) and re-enabling (F5 again) "Hard Drive" under "Legacy Boot Sources" in the Boot Order seems to make the USB key available as a boot device under the F9 menu
- unplugging the USB key, rebooting, then plugging the USB key back in results in the USB key no longer being available in the F9 menu, so not being able to boot off it. Disabling and re-enabling the Hard Drive as a boot source, as in the step above, is then required in order to see the USB key in the F9 menu again
So, a workaround, but a painful one when we have 500+ machines to image. Might have to sort out PXE.
Will probably report this to HP as well, see if they can replicate it.
Same problem occurs with two totally different USB keys, with the same workaround.