the windows pxe rom output is not from Windows. The PXE rom is part of the network card and it is used for PXE booting.
Ignoring the pi part, normally when a PC-ish computer boots it does the following:
- Power up and start running firmware. (E.g. BIOS, or UFI, ...)
- firmware initialised memory controllers etc etc.
- firmware looks in the CMOS to see which device to boot.
These devices can be (in a semi-random order):
- Floppy drive
- Harddisk 0
- Harddisk 1
- Optical drive
- Add in cards (e.g. HW RAID cards).
- NETWORK via PXE boot.
The order of these is usually selectable. And usually it will try to boot from the first option. If that fails it will fall back to the second, third etc etc. If all options fail it will display a failure message (or start a BASIC ROM if you have a really old system).
In your case it seems that you either configured the pi to boot from the network as first device, or that all boots options tried before the network boot failed.
In that case it will send out a DHCP request; not just for IP and DNS information, but also asking for a server from which it can tftp a boot image.