For devices that I've bought in the last ~10 years (i.e. coming with UEFI, between Thinkpad T430s in 2012 and NUC11 few weeks ago), the default was:

- try to boot the internal devices

- then try external (some even distinguish optical and key fobs)

- then try PXE

and only when all of these fail, message the user "no bootable device found".

I remember some desktop computers did, but it was when external boot devices where CD-ROM

And even then this message appeared

Press any key to boot from CD...

https://i.imgur.com/VyZOuob.png

That's a message from the Windows installer. Normally you would have to remove the optical disc after the files are copied or change the boot order/devices when the first stage of the installation ends and the computer is rebooted. With this trick, you don't have to do anything.

It is legacy boot, not UEFI. And I vaguely remember that this message came from the boot loader on the CD, of all places. It was a convenience for the user, who forgot the CD in the drive.

> It was a convenience for the user, who forgot the CD in the drive.

because computers should never automatically boot from external or removable storage

that's why a more modern version of the same message exists

https://i.imgur.com/JVW8c7b.png

This is what I'm getting: https://imgur.com/a/C7NNXCr

It won't boot from USB if the internal drive boots, or unless I manually change boot order.

A former work computer of mine (a Lenovo, too!) wouldn't boot one day. After some time trying to figure out the issue I discovered I'd left a (non-bootable) USB drive attached to the machine. Removed the drive and it booted fine.

Having said all that, this comment is all anecdotal, much like yours.