Okay. We all love Linux, but we try to protect your Windows too, until you get ready to get rid of it. When you make the Recovery Set, you also want to save anything super important on the Windows drive before installing more Linux. Since it is so new, maybe you don't have much, if anything, that important.
If installing Linux goes badly (and it happens sometimes), then the Recovery Set is what you would typically use to restore Windows first, from scratch, and then try Linux again. This can be time consuming, especially to reinstall Windows (Linux is much quicker).
I'm also wondering if you have rebooted since installing Kali? Hopefully it did not break the boot process, but it makes me a little nervous because I'm not sure of Kali's ability to deal with Secure Boot.