and report back, please. I suspect you are too slow to “press any key to boot from CD” because power up and then invoking the console takes too long.
Alternatively to booting the installer from the EFI shell there is a checkbox somewhere in the VM options to wait with booting until the console session is active.
I remember in TrueNAS Core there was an option to in the VM options to wait with booting until the console session is active, however I cannot see this option in Scale.