Booting directly from an NVMe requires flashing U-Boot to the SPI.

Boot from an SD Card.
Write the bootloader to the SPI NOR flash.
sudo dd if=/lib/u-boot-friendlyelec-rk3588/rkspi_loader.img of=/dev/mtdblock0 conv=notrunc
sync

Forgot to make the adjustment for a direct 1Gb Ethernet connection while checking.