"No bootable device — Insert boot disk and press any key"

It’s been a full week since one of the teachers at my university requested us Mac users to install Windows 10 on a bootcamp partition in order to download Autodesk 3DS Max, as we will need it for the rest of the quarter.

At first, I was alleviated when I checked that my old faithful MacBook Air (mid. 2012) was still a compatible device to install Windows 10, but oh boy… then problems came in great numbers.

I could write an entire book about all the issues I had to overcome, looking at all forum threads that I could find. 

Greatly summarized:

• FAT32 not being able to work with files bigger than 4gb.
• Graphic drivers issues once I could install W10 (which drove me crazy, just to learn 3 days later that it was all because I was installing it on EFI mode, which my Mac is not compatible).
• Not showing “Windows” boot option, just “EFI Boot”.
• Many more “smaller” issues that I don’t even remember now.
• And finally, the one that brought me to a dead end: “No bootable device — Insert boot disk and press any key”

Of course, inserting the boot disk that Boot Camp Assistant created and pressing any key did nothing. I tried following the steps described on this thread https://discussions.apple.com/thread/7600973, and I managed to confuse macOS, resulting in having to erase my entire drive to be able to reinstall it and boot again. Luckily, I made a Time Machine backup that I can use to restore my “Macintosh HD” partition, which I did not for now.

Right now, this is my Mac state:

• MacBook Air 13 inch (mid. 2012).
• macOS Mojave 10.14.3 (18D109) version.
• Completely wiped out drive, as new.
• Boot Camp Assistant created partition of 55,77gb.
• Boot Camp Assistant created USB flash drive 2.0 boot disk (Kingston 32gb USB flash drive that already worked in other Macs).
• 1703 Windows 10 ISO used (as later ISOs result in exceeding FAT32 4gb limit, checked with lots of them).
• On restart, when Alt key pressed, both "Windows" and "EFI boot" boot options available.
• “No bootable device” error when Bootcamp Assistant restarts computer or when Alt key is pressed during restart to select "Windows" boot option.

Am I really on a dead end? I want to think not.

Please help.