UEFI or legacy BIOS? I recently installed Windows 11 on a machine with Proxmox on NVME but installed Windows on a SATA SSD. Windows added its boot entry to the NVME SSD but did not get rid of the Proxmox boot entry.
I’ve definitely had the same issue as you on in the past on legacy BIOS and when I worked in a computer shop 2014-2015 we always removed any extra drives before installing Windows to avoid this issue (not like the other drives had an OS anyway).