So based on the output you’ve provided it appears that RH uses the old method of implementing the “BLS” or boot loader spec. That means the grub.cfg in …/EFI/Rocky/ is not a stub pointing to /boot as it is on RL9. The target of grub2_mkconfig in this case should be /boot/efi/EFI/Rocky/grub.cfg .
Since you say you are trying to specify the default kernel which just happens to be the current latest kernel, does this mean you had in the past specified a different kernel? If so, what means did you use to do that?
There is one more thing that would be good to know and that is the output of this:
grep -i grub_default /etc/default/grub
To boot the latest kernel the value of that output should = 0