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Do not activate Secure Boot. The best setting before Windows installation is to set BIOS to default settings:
1. Enter BIOS by pressing F2.
2. Press F9 followed by "Y" to set BIOS defaults.
3. Verify in Advanced -> Devices->PCI that M.2 Slot option is checked.
4. Press F10 followed by "Y" to save the setting and exit.
5. Reboot and enter again to BIOS by pressing on F2. Verify that in Advanced -> Devices->PCI your NVMe drove is now detected. If the drive is still not detected, disconnect the power adapter and try to reinstall your drive again in its slot, fastening the holding screw afterwards.
See the following tutorial to Windows 10 clean installation: Windows 10 Forums
Thank you, this was such an easy step, but very helpful.
After setting Bios to default, there was a message asking me if I want something from Raid to Ahci, I confirmed and get again into Bios menu.
Before setting Bios to Default, there was this Info: "M.2 Slot: Not Populated" Afterwards it said: "M.2 Slot: Samsung Evo .."
I restarted the Windows 10 Setup and there were 5 partitions (I hope it's the right english word). But I can handle this one on my own, so now I have one partition with my clean setup.
Thank you very much.