Install Windows on the second hard drive (Caddy)
As per Windows 10 Fix video here, I recommend you watch it, but here is the video description with some clarification:
1. When the error occurs, press Shift+F10 to open CMD.
2. When the Command Prompt window opens, run these commands one by one:
diskpart
list disk
select disk X (X: Select the system disk you use)
clean
create partition primary size=5000
format fs=ntfs
assign
active
list volume
(find out the drive letter of both the USB device and the partition you just created)
exit
cd D: (change directory to the USB flash drive)
xcopy D: C:/e /h /k (Copy all the Windows installation files from USB drive to C: drive)
3. You can now close Command Prompt and unplug the installation USB drive from computer and restart. After that, start the installation process again.
These commands created a new partition on the second drive containing Windows 10 installation files, no need for the USB drive as you will boot hd1 and install windows from it, but first:
Update GRUB to detect Windows
Since you didn't touch the first hard drive, Grub remained intact.
Just do:
sudo update-grub
and it will properly recognise Windows Setup on the second drive.
But you may face another issue, Grub does recognise the second drive, but can't boot it throwing:
error: no such device: [DRIVE ID HERE]
error: hd1 cannot get C/H/S values.
error: hd1 cannot get C/H/S values.
I was able to get around that with thanks to @walttheboss's answer here by pressing F12 during boot screen and selecting [Hard Drive] as boot option, and that made the second drive bootable through grub.
Selecting the second drive loads Windows Setup and you can use the remaining unallocated space and create a new partition on the second drive for Windows 10
However, You needed to keep an eye on the progress and use the GRUB (F12) workaround when the laptop restarted to continue Windows installation. Otherwise, the laptop will reboot to Ubuntu and the Windows installation might not be completed properly.
And use it whenever you want to boot/reboot Windows.
Turn off Fast Startup to be able to modify NTFS partitions
Now that Windows 10 is installed and you're done setting up your space, you may notice that when using Ubuntu you couldn't copy or generally modify files on the ntfs partitions.
I found these questions here and here, just disabling Fast Startup did the trick for me.