@Raph, I am running this exact setup. You have to jump through some hoops to put windows on the expansion card. I followed the steps in the link n my post in this thread: Windows Refuses Installation on Storage Expansion Card - #6 by lbkNhubert
I also set up refind as the boot manager. Every time it restart in windows I do need to go back into the bios to set the manager to refind, which is mildly annoying but not the end of the world. I also have the same windows setup configured as a vm for when I am in Pop!_OS.