I have same error while instaling grub dummy.
I done everything you wrote, have some warning when I start update-grub

root@kali:/# update-grub
Generating grub configuration file ...
Found background image: /usr/share/images/desktop-base/desktop-grub.png
WARNING: Device /dev/loop0 not initialized in udev database even after waiting 10000000 microseconds.
WARNING: Device /dev/sda1 not initialized in udev database even after waiting 10000000 microseconds.
WARNING: Device /dev/sdb1 not initialized in udev database even after waiting 10000000 microseconds.
WARNING: Device /dev/sdb2 not initialized in udev database even after waiting 10000000 microseconds.
WARNING: Device /dev/sdb3 not initialized in udev database even after waiting 10000000 microseconds.
WARNING: Device /dev/sdb4 not initialized in udev database even after waiting 10000000 microseconds.
WARNING: Device /dev/sdb5 not initialized in udev database even after waiting 10000000 microseconds.
WARNING: Device /dev/sdb6 not initialized in udev database even after waiting 10000000 microseconds.
Adding boot menu entry for EFI firmware configuration
done

Now I can see "kali" in uefi boot menu, but when i boot it just show promp in top-left corner and reboot to windows.

PLEASE HELP.