I enter with a live CD, then I reinstall the GRUB. All works fine. After a reboot, GRUB is still there. But if I turn off the computer and then start it again, GRUB is not there anymore. I have to reinstall it to boot my Kali Linux.
What I have to do to keep my GRUB?
Windows, especially newer versions, like(s) overwriting foreign OSes bootloaders. For EFI, this is not a big problem, as there can be different bootloaders. But for BIOS / legacy boot, there can be one bootloader only.
The safest solution is switching to EFI boot or purging the Windows installation / not starting it at all.
EDIT: According to this post, it could help to disable hibernation on Windows:
powercfg /h off
