I did a little bit more testing...
I'm sure that there is a bug on the VMware side. You can set the first boot device, when you just specify a single device in the list, e.g. an ethernet device with its corresponding deviceKey. But when you specify a list of devices it doesn't work as it's supposed to. It just ignores some devices or there might be a problem with the order of the "Removable devices", that you cannot set at all.
In my case, I want the boot order to be 'CDROM, network, hard disk'. By doing that in one ReconfigureVM Task, it doesn't work. As a workaround, you can do that by using three ReconfigureVM tasks, where you enter the devices in a reverse order. (So 'hard disk' first, then you put 'network' on top and last, but not least the CDROM on top of that.