There are several different answers to the question to which you linked, so it's quite unclear what procedure you followed; however, it sounds like you may have created a new GRUB binary that was not signed with a valid Secure Boot key; or perhaps you installed a BIOS-mode version of GRUB and the attempt to launch it triggered your firmware's Secure Boot warning. In either case, by my hypothesis you then dropped back to your standard Ubuntu version of GRUB, which launched Ubuntu.
Secure Boot is a complex topic. In brief, with Secure Boot active, EFI boot loaders must be signed with keys that you as a user do not normally control. (There are ways to take control of the process yourself, but that's a very advanced topic.) Thus, if you modify the boot loader binary (typically
grubx64.efi), you must either disable Secure Boot or learn enough about it to sign the binary and add your key to the Machine Owner Key (MOK) database. For more on this, see my Web page on the topic.
Concerning your "GPT detected..." message from Boot Repair, that indicates that you booted your Boot Repair disk in BIOS mode, whereas your regular Ubuntu installation is probably in EFI mode. With an EFI-mode installation on the hard disk, it's almost always best to disable the Compatibility Support Module (CSM; aka "legacy-mode support" or a similar term) in the firmware setup utility. This action will prevent accidental boots in BIOS mode. See my page on the CSM for more on how the CSM can cause problems and how to avoid these problems.
Note that Secure Boot and CSM are both optional EFI features; an EFI can support, neither, one, or both of these features. The easiest EFI-mode boot path disables both of them; however, there are cases in which one or the other of those features is desirable. It's rare for both of them to be necessary, and in fact some EFIs make them mutually exclusive -- you can't activate the CSM if Secure Boot is active.
More broadly speaking, there should be no reason to involve GRUB in creating a Windows bootable USB drive; Windows has its own boot loaders (both BIOS-mode and EFI-mode), so GRUB is an extra complication at best. That said, I couldn't tell you how to create a bootable Windows disk from either Windows or Ubuntu, so I can't offer an alternative or commentary on whatever procedure you've followed, except to say that I'm skeptical of any procedure that involves GRUB.