It is definitely compatible. I run UEFI PXE boot for Rocky and Fedora. I wrote this that shows how I set it up myself. If I had a guess, you may need to take off (tftp)/ on your linuxefi and initrd lines. Check the guide for more info and see below for my setup working.
I’m also had faced that same issue .After I copied the grubx64.efi file from Rocky ISO to directory of PXE Server /var/lib/tftpboot same has been resolved and Installation also get started.
Its Because of that old grubx64.efi file from your PXE Server .If you copy grubx64.efi from ISO file it will get resolved