Comment 84 for bug 1418706

Still present in public release of Ubuntu MATE 16.04, and presumably other Ubuntu versions as well.

What do we need to do to help this get fixed? This is, as Martin says, infuriating. It completely blocks you from installing Ubuntu in Hyper-V to a blank VHDX using EFI boot.

I tried the steps Martin posted, and I was able to get past that screen. Indeed, if you just select "EFI System Partition", it formats it as ext4, with no option available. Yet if you consult here the EFI spec v2.5, section 12.3, it states that "The file system supported by the Extensible Firmware Interface is based on the FAT file system," so ext4 would be inappropriate. Source:
http://www.uefi.org/sites/default/files/resources/UEFI%202_5.pdf#page=536

Unfortunately, I later ran into problems installing GRUB2 and the process failed, so there is still something else to debug.