tl;dr After installing a fresh Windows 10 on the SSD, it was not in the boot menu.
I purchased NUC8i3CYSM early this year. It comes with a 1TB 2.5 HDD, with windows 10 pre-installed.
I installed a new Samsumg PM981a 250G NVMe SSD yesterday. It was recognized in the BIOS (both in Devices - SATA and Devices - PCI), which had been upgraded to the latest version 2020.0612.1715.
I plugged in an USB drive that was formatted using the official tool that creates Windows 10 installation media.
The SSD was recognized in the Windows installing process where it asked me to select a target disk. I deleted every partition, resulting two unallocated disks. I then selected the SSD and clicked next. After finishing installing Windows, the computer restarted. I removed the USB drive, before the BIOS logo showed, after which I was prompted with a message saying there was no bootable device.
I then rebooted and pressed F2 to enter BIOS. My SSD was not in the UEFI boot order section. If legacy boot is enabled, the SSD shows up in the legacy boot order section, and it's possible to select it in the boot menu, but it won't boot into windows. Fast boot was not enabled.
If I install Windows in 2.5 HDD, it boots successfully. Disabling the SATA Port (which disables the HDD) didn't help.
I'm not sure what more options could I tweak to make SSD boot.