Windows 10 didn't create EFI partition during installation

Question

During installation of Windows 10, I clicked on Unallocated space on Disk 1 (Disk 0 contains another Windows 10, but this disk is dying that is why I want to install Windows to another disk) and pressed Next. The installation succeeded, but then I booted into my Ubuntu which is installed on the same disk and saw that Windows created only 2 partitions: MSR and data partition. So my current partition table is:

1. MSR or Microsoft reserved (16 Mb)
2. Microsoft basic data (1.5 Tb)
3. Linux swap (1 Gb)
4. Ubuntu (200 Gb)

Ubuntu can boot because Disk 0 still holds EFI partition, and there is loader for Ubuntu on that partition. However, new installation of Windows can not be booted because there is no EFI partition on Disk 1. I think the old one can be booted because EFI partition on Disk 0 holds Microsoft folder. So is there any way to create EFI partition on Disk 1 and place Windows loader here using USB stick with Windows or using Ubuntu?

Also I want to add that I also tried creating EFI partition manually, and that way Windows creates 4 partitions (including MSR, data, EFI and Recovery) but when it just starts to copy files it says that EFI partition is formatted into NTFS, but Fat32 is required. When I booted into Ubuntu to check, there were 2 EFI partitions and both of them had Fat32 as their FS.