This sometimes happens when trying to install the EFIversion of grub to a device when you are booted into Legacy/MBR mode. It doesn't seem to occur on all machines, but some and seems somewhat BIOS dependent.
grub-install --target=x86_64-efi /dev/sda
Installing for x86_64-efi platform.
grub-install.real: warning: Couldn't find physical volume `(null)'. Some modules may be missing from core image..
grub-install.real: warning: Couldn't find physica........
It has been a big pain for a long-time to install Windows from a Linux environment. I used to run a windows install server and it never worked right for some reason (the install would fail on most servers).
Before getting start be sure to setup your samba share so once you boot into WinPE you can mount the install for whatever Windows you want
/etc/samba/smb.conf
[smbwinstall]
path = /tftpboot/images/winstall
guest ok = yes........