A few years ago I did an install and specified the GRUB boot loader but it didn't work. I forget the specifics of "didn't work". I didn't investigate and thereafter used the FreeBSD boot loader.
It looks as if you are trying to get GRUB to boot the pfSense.iso file. That is unlikely to work. Have you followed the documented pfSense install procedure? (On the pfSense home page, click on Documentation, follow the links to the Wiki, then FAQ where you will find a link to the article How do I install pfSense to my hard drive?)