At the time of writing I have only tested this on QEMU, but there is a considerable delay of several seconds just to get GRUB started when built from Yocto. This same delay doesn't show in the BIOS implementation. In the BIOS case we roll our own GRUB recipe, but in the UEFI case we use the upstream one from Yocto, so it may be a bug in their recipe, or possibly in the UEFI provider (ovmf, TianoCore).
Boot times matter to many customers, and the problem potentially affects all Yocto users using GRUB/UEFI, so it's a worthwhile optimization to get rid of this delay.
Likely related is an error message printed by GRUB. If this error is resolved by this fix, please remove this troubleshooting section: https://github.com/mendersoftware/mender-docs/pull/506 (master and any stable docs branches)