After several attempts I finally managed to get everything to work!
I changed the PCI Express 1x SATA adapter but I honestly believe that the problem came from a series of incorrect settings in the bios.
To anyone who had the same problem, I report below what I did on my Dell Optiplex 3060 SFF:
Updated the bios to the latest version (1.28.0 downloaded from Dell Website)
BIOS: Boot Sequence > UEFI enabled
BIOS: Boot Sequence > selected my Unraid USB Flash Drive
BIOS: System Configuration > SATA Operation > AHCI
BIOS: Secure Boot Enable > unflag to disable it
BIOS: Virtualization Support > Virtualization > flag to enable IVT (I use this for my VMs)
BIOS: Virtualization Support > VT for Direct I/O > unflag to disable it THIS IS IMPORTANT - from my tests this was what blocked booting with the sata expansion card
I attach a series of photos of my BIOS for your convenience, I hope it can be useful.
Thanks again everyone for the support