Ubuntu prefers the RTC (Real Time Clock aka the BIOS time) set to UTC and then offsetting with time zones to display the correct local time. By default it even adjusts the RTC to UTC itself.
To disable, run the following terminal command:
sudo timedatectl set-local-rtc 1 --adjust-system-clock
Then reboot to BIOS:
sudo systemctl reboot --firmware-setup (or reboot and mash F2)
Then adjust the System Time and now Windows should stay at the local time.