Sorry for the necrobump but I ran into the same issue. The cause of this issue is that RedHat and likely Rocky too builds their iso’s explicitly disabling Mac booting by building iso’s with a “–nomacboot” flag. The solution is to build the iso’s with a “–macboot” flag instead. This can be done using mock/kickstart/livemedia-creator but it might be too involved for most users though.
Ideally Rocky can change this flag so their iso’s just work on Macs. I don’t really understand why RedHat even does this. There are so many forums and mailing posts spread over many years of people trying to re-use their Macs/Macbooks all running into this issue. All caused by a flag that breaks things on purpose. I haven’t been able to find a single reason as to why this flag is used by RedHat and also in many RHEL based distro’s.
An iso build with the macboot flag will install just fine on other machines too. It just adds the needed packages the installer is complaining about. There is really no downside changing flags.