Strange loading sceen

[peterwang0209]

I follow the guide and everything works fine except the little penguin on the right. When I click it, it should boot the ubuntu but instead it shows me

Starting shimx64.efi
Using load option
Invalid loader file!
Error: Not Found while loading shimx64.efi

But if I pick the default ubuntu launcher it will boot to the grub boot page.
Here are my setting, please help take a look at it.