If you're using Windows 8, a "shutdown" actually keeps
things in "hibernate" state. And in "hibernate" state,
the popup boot menu is disabled, and the system restores
from hibernation instead.
You need to do a "complete shutdown" from Windows 8,
in order for the motherboard BIOS boot to behave
in the legacy (expected) way.
I do this on some of my systems. In a Command Prompt
window, elevated with "Run As Administrator" I do
powercfg -h off
and then do a reboot. If you do that, you should
be able to use F12 or whatever it says to use.
That will also disable S4 hibernation. Later,
you can do
powercfg -h on
to return to normal. And then you can run off
and research "how to do a complete shutdown of
Windows 8 or 10".
Paul