So you have downloaded Ubuntu 16.04 and noticed supports EFI, yet when you try to boot from the ISO message, you are greeted with a message stating that the machine does not detect it as an EFI capable disk, as shown below
Luckly this is an easy fix, as it is simply secure boot that Ubuntu/Hyper-V are having an argument over.
Turning off your VM, open up the settings page and navigate to the “Firmware” menu. As you can see in the first image below, “Secure Boot” is enabled (checked). To fix this, simply uncheck it as per the second image below, click “Apply” then “Ok”
Upon doing this and restarting your virtual machine, you will now be presented with the boot menu from the disk, allowing you to continue on your way