That makes sense, because you’re booting up in native UEFI mode, so it’s not going to allow you to install a legacy BIOS boot loader.
And even if it did, you’d never be able to boot that way. The legacy BIOS version of GRUB runs in real mode, while a UEFI boot puts the boot processor in 64-bit long mode, and therefore, the UEFI version of GRUB is a 64-bit EFI executable, not an i8086 real-mode executable.