How to fix EFI boot "Software Update is Required for this disk" when trying to boot linux? [duplicate]

I am having this exact same issue following the exact same Ubuntu Tutorial. Have tried a multitude of variations with the security settings...but nothing helps and after it's downloaded something (approx 70%-ish?) the screen goes black, comes back on with Apple logo and boots into my regular Mac HD.

My supposition is the process breaks the OS and we have to follow a different path to run this software.

EDIT: To add, and an FYI, following the same Ubuntu tutorial from above, but now for a bootable DVD instead, gives the same 'error' loop. It appears (to me at least) that any kind of external media, whether that be USB flash drives or DVDs/CDs, currently aren't supported by the Boot manager under MacOS (Catalina: version 10.15.6) despite lowering/altering the T2 chip's security settings.

EDIT 2: as Topic starter mentioned below, 2019 Macs do not support alternative OS other than Windows for now. Thanks for all your insights and let's hope someday Ubuntu will also be supported.