Why is EFI boot-loader fallback failing?

Question

I am experimenting with EFI bootloaders and there's something I don't understand. That's the situation:

1. I compiled by scratch grub2.

2. Formatted a USB drive with an EFI partition and placed the obtained bootx64.efi and grub.cfg in /EFI/BOOT. The USB drives boots correctly.

3. If I replicate point 2 using an SSD drive, the system does not boot!

4. I found out that placing bootx64.efi in Microsoft/Boot/bootmgfw.efi makes the system bootable.

So, my question(s):

Is it possible that USB drives have a fallback different from hard drives? Or, why is not my system booting from SSD using the fallback /EFI/BOOT/bootx64.efi?

Thanks,

Alain.