AFTER installing Kali Linux and setting up the loader in the ESP (FAT32 EFI partition), the steps are:
(i) Get into BIOS (by pressing F2 when computer boots)
(ii) Set Supervisor password
(iii) Ensure Secure Boot is on
(iv) Go to "Select an UEFI file as trusted for execution" and choose: EFI->Kali->grubx64.efi
(v) Turn off Secure Boot
(vi) In section 'Main', select F12 Boot Menu and change it to 'Enabled'
(vii) (Optionally) clear Supervisor password
(viii) Save BIOS settings and restart
(viii) Press F12 on boot and now you can choose Kali.