Wait for the EFI shell to leave you at the terminal.
Type:
edit startup.nsh
Type the path to your desired .efi file. Typically:
fs0:\EFI\ubuntu\grubx64.efi
Ctrl+S
to save.
Enter to confirm.
Ctrl+Q
to exit back to shell.
Reboot the VM. It will still display the EFI shell but will load Grub automatically.