It seems this is a bug in the Dell's firmware.
Sledge helped with a workaround: configure grub to self-install in the
EFI removable media path (which is a fallback path for the firmware).
dpkg-reconfigure grub-efi-amd64
And select Yes in "Force extra installation to the EFI removable media
path?"
Then grub will also install it self at /boot/efi/EFI/BOOT/BOOTX64.EFI
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