I tried all of your steps, and I get the same behavior. The CD-ROM is set to connect at VM power on. When I see the “Press any key to boot from cdrom” message, I do and I get the same error message, which is "Unsuccessful>>>>EFI Network Start PXE over IPv4". I have used my current ISO disk to install Win10 many times (natively, in VirtualBox and in VMware), so I know the ISO is not broken.
So I downloaded Win10 ISO again. And rather than burning it to disc, I left it as just left it as an ISO file on the hard drive. Tried creating a Win10 VM by pointing the installation media to the file (rather than to the CD). Same behavior. Also tried the method of installing the operating system later. Same behavior. Burned the newly downloaded Win10 ISO to disc and tried to create a new VM. Same behavior.
Yet installing a Linux guest VM is not a problem....works perfectly.
The only thing different in what I've been doing is migrating to Workstation 14. In the last month I probably created a Win10 VM 10 times in Workstation 12.5. I see no solution, other than to revert back to 12.5.