You can put your own keys in on many motherboards using some of the command line EFI tools, but you would have to basically recompile everything from scratch using your keys to get them to run. I.e. might as well switch to gentoo at that point.

On the other hand, Microsoft's keys are a common target and if the distro is partners with MS, they can have their packages signed with the MS keys. This is technically less secure as the key is widely shared and if it gets cracked somehow, anyone using it is compromised. But it's a "good enough" solution for many who care to use secureboot at all.

Personally I just turn it off, and I haven't experienced any attacks on my machines over the last decade that would take advantage of something that low level. Then again, I'm very careful with what I download and who I open emails from, etc.