You've booted the Windows installer in EFI mode, and your disk has a hybrid MBR. Since the point of a hybrid MBR is to make a GPT disk look like an MBR disk, it's basically doing its job. In your specific case, though, this is undesirable.
Before proceeding, you need to consider two things:
- How is Ubuntu booting? -- With Ubuntu booted, look for a directory called
/sys/firmware/efi. If it's present, Ubuntu is booting in EFI mode. This might favor going forward with an EFI-mode installation of Windows. If /sys/firmware/efi is missing, then Ubuntu is currently booting in BIOS/CSM/legacy mode, and my inclination would be to properly convert everything to boot in that way, as described shortly.
- Will Windows work properly in EFI mode? -- Most Windows installs to Macs are in BIOS/CSM/legacy mode. The error message you got indicates that the installer, at least, is booted in EFI mode, though. There's no guarantee that everything will work properly in that mode once you've fully installed. You might want to check on a Mac-specific forum for advice on this matter. Be sure to provide your exact model (date or revision) and Windows version, since compatibility of the two varies from one model and Windows version to another.
Once you've considered these factors, you can decide whether you want to boot these OSes in BIOS/CSM/legacy mode or in EFI mode. You should then adjust your partition table for the mode you want, proceed with the Windows installation, and possibly fix up your boot loader or boot manager.
The safest approach is to convert your GPT to MBR (you can do this with gdisk in Ubuntu, as described here, boot the Windows installer in BIOS/CSM/legacy mode, and re-install GRUB when you're done. This will result in a BIOS-mode install of both OSes, and everything will work as if your machine were an older BIOS-based computer. You'll have a hard time re-installing OS X if you decide to do so, though. To boot the Windows installer in BIOS/CSM/legacy mode, you'll need to either create a boot medium that lacks the EFI boot loader (EFI/BOOT/bootx64.efi) or play with the Mac's built-in boot manager (which you get by holding down Option or Alt as you turn on the machine) to boot the medium in the way you want.
If you decide on an EFI-mode boot, you should first replace the hybrid MBR with a conventional protective MBR. You can do this with gdisk by launching it on the disk, typing x to get to the experts' menu, typing n to create a new protective MBR, typing p to verify that your partitions still exist (you haven't made any errors), and typing w to save your changes. Windows should then install in EFI mode when you boot its installer in the way you booted it before. You might need to re-install GRUB or use another boot manager, such as rEFInd, once the installation is complete. Macs are weird, though, so you may need to boot an OS X installer disc to get an OS X Terminal to install a third-party boot manager.
