WetGeek Stalebrim suggested that a while ago, and I haven't had a chance to check it yet. I'll do that now, just to check off that box.
Mystery solved. Apparently that Windows VM was on the original workstation that did support virtualization. On this little HP, the UEFI HP Setup does't even contain that setting. It's from 2015, and I'm now pretty sure I simply transferred the original workstation's 500GB SSD into this machine when I swapped it out. That's why the Windows VM icon showed up on the screen. I rarely used it, though, and apparently not on this computer.
No worries, though. That Optiplex is gonna be lots of fun. No regrets here.