Windows determines which mode you have to install it. If windows is GPT ('UEFI mode') then kali has to be as well. (An exception is that both OSes are supposed to run on 2 different physical drives) You only can install kali as MBR if winows is MBR as well. I suppose you run windows as GPT installation. Enable UEFI boot and disable legacy mode / CSM DISABLE secure boot and the message should vanish. Alternatively you later can sign kali's booltloader binary and add it to trusted boot and run it even with secure boot enabled. Edit: Firstly check how your windows is installed (MBR or GPT).