So when I Shift + Reboot on Windows it shows the menu for "Use a Device" and from there I could choose the Ubuntu partition and after the reboot it loads GRUB.
So I started reading other questions/answers and I found a very long answer with different scenarios, I already tried most but not tinkering with the BIOS...
So I entered my BIOS and in the boot section I had this list:
- USB Drive:
- Windows Boot Loader
- HDD:
- to 8 many more...
So I give it a try; it's logical I think, that the HDD should be first. So:
- USB Drive:
- HDD:
- Many more...
- Windows Boot Loader
And that was it!!! Now it boots with GRUB2!