Please choose the right OS settings for booting from external device.

https://support.apple.com/en-us/HT208198

Use Startup Security Utility to make sure that your iMac Pro always starts up from your designated startup disk, and always from a legitimate, trusted operating system.

Available only on iMac Pro, Startup Security Utility offers three features to help secure your Mac against unauthorized access: Firmware password protection, Secure Boot, and External Boot.

To allow your iMac Pro to use an external startup disk:

1. Update OS to macOS 10.14 Mojave
2. Open Startup Security Utility.
3. Select ”Allow booting from external media.” 
4. If you want to select an external startup disk before restarting your Mac, quit Startup Security Utility, then choose Apple () menu > Startup Disk.