I have basically the same laptop (it’s an E16, but with the same CPU - it’s just the 16-inch version of your laptop). Make sure you press enter, press F1 to go into BIOS, then go into Security > Secure Boot and enable “Allow Microsoft 3rd Party CA”. That worked like a charm for me.
If you’re still having problems, try writing down the steps you have taken (down to the key combinations; some pictures would be nice as well). I should have all the same settings menus.
Don’t worry, though, you’ve made a good choice; I’ve been loving my Thinkpad E16.