We've had problems with Surface Pro 4 PXE too. Microsoft have confirmed it's a problem with the UEFI Network stack, and you need to have IPv6 enabled and routed to the PXE Server. If you just have IPv4 then it won't work. They are working on a firmware fix, which should be out in a few months.
I never got the Surface 4 to PXE boot. I didn't take it much further as we don't have very many.
The later Surface Pro does PXE in exactly the same environment.
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