Yes, a customised Mac EFI firmware is required to show the boot screen. The firmware or even the method of creating the firmware is widely available in this forum. A little bit search will get you there.
RX560 of course is a much better card in terms of efficiency or functions (e.g. HDMI 2.0), however, impossible to have boot screen at this moment. More precisely, you can have boot screen, but then the card will crash in MacOS. That means practically cannot have boot screen and a working MacOS at the same time.
However, since quite a few Radeon cards have dual ROM design, I really don't know if possible to make one ROM with Mac EFI that's only for emergency use (e.g. Single user mode), and use the normal PC ROM for day to day ops.
Also,I don't know if a Mac EFI RX560 can with in Windows or not.