Sounds like there was no RAID created before the Windows install.
Create the array using instructions here -- Page 39, Section C-1: http://download.gigabyte.us/FileList/Manual/mb_manual_ga-z170x-ud3_e.pdf
That is a good guide to create the RAID, thanks Gize2
I found this one that is especially for NVME SSDs, there are some things you have to take into consideration.
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Please let us know how it goes.