Huh, I don't know why I thought it did. Looking into the link below briefly I see it uses a PKI scheme with CAs.
https://learn.microsoft.com/en-us/windows-hardware/manufactu...
So I guess if you provide a key for the bootloader, the firmware will sign it when it's in setup mode? I guess that private key is embedded directly in the firmware then? I presume that's made invisible once control is handed to the bootloader somehow ...