I found that unfortunately there is a problem with the UEFI BIOS and the Ubuntu bootloader / GRUB.
The boot files which are stored on the hidden EFI partition of the boot drive are not recognized properly by the BIOS.
Even worse: If you have a running and booting system and then via system update do a GRUB update, the boot is broken again!
I spent a few hours to find a solution, and best up to now is a workaround found here:
Re: D34010WYK No UEFI Boot Devices
This way booting the NUC needs a bit longer, but it least all is working and it should survive a GRUB update.
Hopefully Intel will release a fixed BIOS version soon...