@EddieHinkle You're right... I forgot you first have to enable USB boot (which also enabled PXE boot), and you need a microSD card for that. Too bad they don't enable that option out of the box. (https://www.raspberrypi.org/documentation/hardware/raspberrypi/bootmodes/net_tutorial.md)
@EddieHinkle This is only for 3B+ (2018) models. The older ones do need micro SD even when network booting.