Success!
I inserted an old 60 GB SATA II SSD into the 2.5" slot, and booted up my now installed Windows 10. I could see it contained an NTFS drive, but I left it intact just to see what NUC thought about it. I booted into the BIOS and lo and behold, I could suddenly see my M.2 SSD in the Legacy Boot sequence!
I couldn’t see the SATA II drive there (probably because it’s not a boot drive, and NTFS to boot), but that doesn’t matter, as I could now see my M.2 SSD. I removed the SATA II drive, and it made no difference; apparently the BIOS needed something else on the SATA bus to notice that my M.2 was there, and now that it’s seen it can be used. I proceeded with the ROCK installation, and I now have a working ROCK!
So to cap up, if you’re in the same boat as me, try connecting another storage to the SATA bus, and see if it helps.