Why can't I boot from the stick?

Hi, I downloaded Kali Linux Live and put it on a stick using an etcher. Then I shut down my PC and plugged in the stick. If I now start up again and want to boot from the stick in the BIOS, it says something about an error (see picture) … I also just turned on the PC without going into the BIOS, but then the PC did not automatically boot from the stick, but back to the normal operating system. The problem: I still have an old laptop lying around, and it works with it, even automatically. I just plugged in the stick and the laptop booted into Kali Linux. Why doesn't this work on my laptop? (ROG Zephyrus G15)

Does anyone have any ideas?

Because Secure Boot is activated in the BIOS

How can i turn this off?

Or shouldn't that be turned off?

The "Secure Boot" activated in the PC prevents booting with an unsigned bootloader. Apparently this is not activated on the laptop. Remedies:

https://www.howtogeek.com/175641/how-to-boot-and-install-linux-on-a-uefi-pc-with-secure-boot/
https://forums.kali.org/showthread.php?49442-quot-Secure-Boot-Violation-quot-with-Kali-USB-Boot
Or simply switch off Secure Boot in the BIOS.

"or shouldn't that be turned off?"

No, you can switch off without hesitation.

Search for the appropriate setting in the BIOS and deactivate it.

The menu navigation differs from my mainboard. So I can't help you there