First of all thx everyone for pointing me out the right way, that gives me good clues.
After lots of reading on the subject I have a better understanding of the subject.

Here is the detail of how I proceed :

From Ubuntu, using Gparted, I completely delete EFI partition on Nvme2 I format the one on Nvme1. (with the boot flag)

Then in a terminal :
sudo gedit /etc/fstabto replace UID of the EFI partition. It changes arfter formating. The line should looks like this
UUID=1A2B-3C4D /boot/efi vfat defaults 0 1, save fstab then mount EFI partition sudo mount /boot/efi and reinstall grub
sudo grub-install

Now, after rebooting, UEFI entries are not messy anymore but you've got only one entry: Ubnutu. No more Windows here, so I have to recreate EFI entries for Windows

In a lot of guides I found, it says to use Windows Startup Repair tool, but:

1. It didn't work for me (maybe because of Grub?)


2. I don't exactly knows what it does and how....

So I did it manually :

Boot on Windows10 install media > select language > Repair your computer > Advanced Options > Troubleshoot > Command prompt

With diskpart I mount and add a letter to EFI partition

diskpart

diskpart>list vol            (to display assigned letter to partitions and volume numbers)

diskpart>sel vol 4           (volume number of the EFI partition)

diskpart>assign letter=Z:    (or other available letter)

diskpart>exit

Then I use bcdboot to create Windows entries in the EFI partition

bcdboot D:Windows /l fr-fr /s Z: /f UEFI                (D is the letter of the partition with the first Windows system to boot, here Win10-1)

bcdboot E:Windows /l fr-fr /s Z: /f UEFI /d /addlast    (E is the letter of the partition with the first Win10-2 system)

bcdboot F:Windows /l fr-fr /s Z: /f UEFI /d /addlast    (F is the letter of the partition with the first Win10-3 system)

When rebooting there is now 2 choice in UEFI selection : Grub or Windows boot manager, but grub still don't know Windows.
At the end, boot a last time on Ubuntu and do a sudo update-grub.

Here is the actual behaviour when booting :

Boot 

|_______Grub

        |______*Ubuntu > boots Ubuntu

        |______*Windows Boot manager on /dev/nvme0n1

                |_______Windows Boot Manager GUI

                        |______*Win10-1 > boots Win10-1

                        |______*Win10-2 > boots Win10-2

                        |______*Win10-3 > boots Win10-3                       

For more clarity we can use bcdedit to rename entries in WBM

From any Windows command prompt:

bcdedit (to list entries and not identifiers)

bcdedit /set {identifier} description "My Custom Windows"

Now on its preatty clean. But I must go through Grub then Windows Boot Manager GUI to boot on any Windows.
So I keep playing !

I did format EFI partition on Nvme1 again, create a new one on Nvme2 and another on SSD1 (FAT32 partition 100Mo with 'boot' Flag from Gparted)

Install Grub on Nvme1 /boot/EFI.

From Windows10 install media, the same way as above, mount each 3 EFI partitions and add on each one the related EFI entries :

bcdboot D:Windows /l fr-fr /s Z: /f UEFI /d /addlast    (D is system Win10-1 and Z EFI on Nvme1)

bcdboot E:Windows /l fr-fr /s Y: /f UEFI /d /addlast    (E is system Win10-2 and Y EFI on Nvme2)

bcdboot F:Windows /l fr-fr /s X: /f UEFI /d /addlast    (F is system Win10-3 and X EFI on SSD1)

Finaly do update-grub from Ubuntu after reboot.
And now here is the behaviour :

Boot 

|_______Grub

        |______*Ubuntu > boots Ubuntu

        |______*Windows Boot manager on /dev/nvme0n1 > boots Win10-1

        |______*Windows Boot manager on /dev/nvme1n1 > boots Win10-2

        |______*Windows Boot manager on /dev/sdb > boots Win10-3

Furthermore, I am now able to boot any system from UEFI selection and if I lost Nvme1 disk I am still able to boot from other disk

Hope this novel can be useful for other people