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Only one OS can own the MBR (first-512-bytes-of-disk) which is usually the last installed OS. update-grub will only work IF run on the OS that owns the MBR, otherwise you need to grub-install first (which will take ownership of the MBR).
If Windows & Ubuntu are UEFI, did you also install Kali in UEFI boot mode? Otherwise grub will never boot it. Grub can only boot other installs in same boot mode as Ubuntu is installed UEFI or BIOS.
update-grub
will only work IF run on the OS that owns the MBR, otherwise you need togrub-install
first (which will take ownership of the MBR).