That arrow, in my experience, indicates where focus is at the moment, but has nothing to do with the actual boot order, which occurs in precisely the order listed.
In that screen shot the USB drive has precedence as the first boot device whether in UEFI or Legacy boot mode, and you have Legacy mode enabled.
I also don't know this, as there are variants, but do you have an option at boot to go into a "one time boot order" for just that single boot? If so, you could always use it to designate the USB drive as the thing to boot from. This usually appears across the bottom at some point in the boot process before the OS ever starts to load, but sometimes it's very fast to go by. I believe it may be F12 for the InsydeH20, but am not entirely certain about that.
In addition, since this is a Windows 10 install I would consider disabling Legacy Support and enabling secure boot to see if that makes a difference. That's the "general default" UEFI configuration on a Win10 box as shipped from the factory.
