They should, how does your PXE configuration look like? Note that, for PXE, it should contain pxe-service=... or pxe-prompt=... config lines. If you merely offer TFTP and use dhcp-boot to instruct the clients to download and execute a file, this is not really PXE but just "guided booting". Such a setup wouldn't be counted as PXE.
Easiest would be defining log-dhcp (if you haven't already) and then check /var/log/pihole/pihole.log.