Ok, I have updated my meta-mender branch and found that the MENDER_EFI_LOADER was defaulted to u-boot because it’s aarch64 see meta-mender/mender-setup-grub.inc at master · mendersoftware/meta-mender · GitHub
After cloned the meta-arm repo and add the edk2-firmware recipe.
I changed the machine to get something like this
require conf/machine/qemuarm64.conf
# Boot the image via EFI
EFI_PROVIDER = "grub-efi"
MACHINE_FEATURES += "efi"
MENDER_EFI_LOADER = "edk2-firmware"
Now the grub.cfg is correct, but still doesn’t boot 
with the same message…