The PXE hand off must be pre-configured in BIOS. It is not a default (from factory) setting in BIOS. PXE must manually be enabled, and the boot order must manually be set to boot to PXE.
You'd be surprised, although like you said, it's usually the last item in the boot order...
Emphasis mine:
You'd be surprised, although like you said, it's usually the last item in the boot order...