I would say steve6375 has already given the right answer.
WinNTSetup only applies the WIM to the VHD and create boot files.
The image is still in sysprep phase and therefor will try to "specialize" the BCD store on first boot.
If he immediately boot that VHD with Ventoy it will cause that error.
I don't know how Ventoy boot it, but i guess it uses a virtual boot drive like NTBOOT.
And that can't be seen later in the boot process.
For the "hidden menu" he will need to use newer version.