For debugging, it would be helpful if this displayed the file of of what file is not found. My first read was core.efi was not found.
I'm assuming "error: File not found." comes from grub. If it is
iPXE ... Open Source Network Boot Firmware I'll redirect this request to them.
Filename: core.efi
tftp://
10.0.2.2/core.efi... ok
core.efi: 222208 bytes [EFI]
error: File not found.
Entering rescue mode.
grub rescue> _
