Are you sure about the *.iso media is already a bootable file?!
I think your VM tried for booting with this file and then after unsuccessfully try, go again to the network boot (PXE) as the boot order...
However to remove Network boot from list of boot order in the VM's BIOS setting, please check this KB1014906 it will guide you how to do remove it from the VMX file. (Remember the VM must be power off)