I came to a solution with help of users @Ro-ee, @Ramhound, and a lot of research. I waited to write a solution because I was still testing everything.
Summing up the problem:
I had a dual boot of Windows 10 with Ubuntu 20.04 LTS. By wrong configuration in the firmware (also known as BIOS, but I think they are not the same thing), Windows was installed in UEFI mode and Ubuntu in BIOS mode.
I could specify a bunch of technical stuff I learned by researching to solve the problem, but the text would be huge, so in case anyone has the same problem I had here, I believe it would be easier to search the internet. Therefore, I will make a simple summary of the solution.
Solution summary:
The only viable way to solve the problem was to actually format everything. I downloaded Windows 10 and booted from the flash drive. On the partitioning part (again, using the Windows installer) I deleted all partitions, both Windows and Ubuntu. So I had to manually create an EFI partition, because Windows automatically creates this partition, but with a size of 100MB, and the recommended for dual boot is 512MB. To create this partition, use the command line (the famous prompt). By pressing Shift+F10 it will open and there the EFI partition will be created using Diskpart. If anyone needs to do this kind of thing, just search the internet. It's very easy to do this.
So I created the EFI partition with a size of 550MB, because I also read recommendations with that size. After that, I closed the prompt and followed the installation process normally, creating partitions C and D for Windows. The installer normally created the Windows reserved partition and the recovery partition, but it is worth mentioning that the recovery partition did not appear in the installer as usual, if I'm not mistaken. But after installing Windows, I opened the partition manager and saw that the recovery partition was created normally, so everything was fine.
The installer also automatically recognized that an EFI partition already existed, and therefore did not create another one.
Installation of the linux distro (in my case, Kubuntu):
The installation of Kubuntu was done normally. I downloaded the iso on Windows 10 and created the bootable pendrive. I created the partitions normally during the installation, as is done in any video/tutorial. The only difference here is that the boot must be placed on the same EFI partition created by Windows 10, that is, in the partitioning window, that last option that asks where the boot device should be installed, the option to be chosen is the partition EFI (I think in my case it was like sda1). And ready. Just put it to install normally. Both systems will boot from the EFI partition of Windows 10 and when turning on the computer, the user will be presented with options to choose which system he wants to enter.
NOTE: it may happen that the boot options only appear if the user presses the boot options shortcut key. In my case, that key is F12.
About firmware settings (also called BIOS by many):
I put the firmware to "uefi only" mode, that is, I disabled legacy mode. I also had to disable the CSM option. CSM is a legacy support module (although the name is "gourmetized"), so if you leave it active, it can happen that the system installs in BIOS mode, even selecting UEFI mode on the pendrive (which is what happened here and generated the problem of having a system in UEFI and another in BIOS).