I did some more exploring. I didn't notice previously that both Add Boot Option and Path for Boot Option are required. With Add Boot Option you can enter anything however with Path for Boot Option you must navigate to a .efi file. I tried EFI\kali\grubx64.efi for Add Boot Option but can find no grubx64.efi file in navigating through all the choices with Path for Boot Option. The files I could find were bootx64.efi, bootmgfw.efi, memtest.efi and bootmgr.efi. The only Path option I have tried thus far is bootx64.efi and when I do that and hit Create the boot order is populated with EFI\kali\grux64.efi (PO: WDC WD5000LPVX-80V0TT0)....and it boots to Windows.