This is not really a question. I wrestled with this problem at a client site and wanted to share our findings with the community since I don't see the actual solution posted in an obvious place online and even HP support took a long time to help figure out the issue. Latest UEFI "BIOS" file at time of writing (6/11/2016) does not help either.
My suggestion to HP would be to encode a clear INPUT FAILURE message when the 4 digit code has been rejected instead of what currently happens - the PC plays a tune and it seems like all is well but then you get the boot error listed below.
HP should show numbers entered, "sing" some audio, and then UEFI settings should stick
*Remember that a USB stick must be formatted Fat32 to show as a boot option in UEFI unless you enable legacy boot options (assuming they are available)