Did your disk have a previous version of Windows installed on it. You may have to delete all of its partitions...
Thank you Scott,
I delete all partitions and format the Disk again. The issue remain.
In my case, with a NUC5i5RYH, it helped to go back and install an older BIOS. I took 0249:
This download record provides options for updating the BIOS of the Intel® NUC Kits NUC5i3RYH, NUC5i3RYK, NUC5i5RYH, NUC5i5RYK, and NUC5i7RYH."
Thank you for contacting the Intel Communities.
Here you can find some workaround that could assist you, regarding BIOS features to be changed and formatting of your disk.