That's a message from the Windows installer. Normally you would have to remove the optical disc after the files are copied or change the boot order/devices when the first stage of the installation ends and the computer is rebooted. With this trick, you don't have to do anything.
It is legacy boot, not UEFI. And I vaguely remember that this message came from the boot loader on the CD, of all places. It was a convenience for the user, who forgot the CD in the drive.
- try to boot the internal devices
- then try external (some even distinguish optical and key fobs)
- then try PXE
and only when all of these fail, message the user "no bootable device found".