It's important to know if your original Windows installation booted in BIOS/CSM/legacy mode or in EFI mode. Most Windows 10 installations on Macs boot in EFI mode, but that's not universally true. If it booted in BIOS mode, then the disk must have once used a hybrid MBR, and your macOS upgrade probably either replaced the hybrid MBR with a protective MBR or it wiped out the Windows BIOS-mode boot loader. If Windows booted in EFI mode, then maybe the Windows EFI-mode boot loader was damaged or replaced, or perhaps something about the Apple boot menu is messed up. The repair method will be entirely different depending on which boot mode was used, and trying to repair in the wrong way could just make matters worse.
If you don't know the original Windows boot mode, I suggest you examine your EFI System Partition (ESP) to see if it holds any Windows boot loader files. (They'd be in the EFI/Microsoft directory tree, if they exist at all.) If there are Windows boot files on the ESP, chances are it had been booting in EFI mode. If not, then either it was booting in BIOS mode or the macOS upgrade wiped those files out. Thus, lack of those files is less diagnostic than their presence.
Even if Windows had been booting in BIOS mode, you might be able to convert it to boot in EFI mode by installing an EFI-mode boot loader. This is described here, among other places:
http://sdnalloh.com/converting-win7-from-mbr-to-gpt/
Note, however, that this blog post describes a full conversion on UEFI-based PCs. Some of the work (like converting from MBR to GPT) is already done on a Mac (although you may need to convert a hybrid MBR to a protective MBR).
Before diving deeper, should Windows 10 be booted in EFI mode on my MacBook? Since I posted this, I reinstalled Windows 10 and now I have two boot options, OSX and BOOTCAMP, both having the same harddisk icon. I suppose they are both in BIOS mode?
From my previous install I recall having issues, blue screens and such, when running in BIOS mode. I haven't seen those yet in the few hours I've been running in Windows 10. – user3815297 – 2017-02-12T09:42:45.880
OS X always boots in EFI mode. (Well, unless you do weird things with a Hackintosh boot loader.) Windows 8 and later can be installed in either mode. My understanding is that Boot Camp now favors EFI mode, but you might have a BIOS-mode install for any number of reasons. If Windows is booting, see this page of mine for information on identifying its boot mode.
– Rod Smith – 2017-02-13T15:21:49.417I followed your instructions and my Boot Camp Windows boots in BIOS mode, it states Legacy. What's the impact of this? Is it better to boot in EFI? – user3815297 – 2017-02-14T17:48:23.360
If it's working now, follow the adage, "if it ain't broke, don't fix it." Although I recommend booting in EFI mode whenever possible, switching boot modes creates opportunities for new problems to pop up, so the switch is probably not worthwhile. If it's not working now, please elaborate or post a new question. – Rod Smith – 2017-02-15T15:52:06.930