Foe some reason, when I run "sudo update-grub" it does not show my hdd with windows install. What I am doing wrong?.
Go into the Disks application (gnome-disks) and ensure the Windows disk is mounted before running sudo update-grub. Grub can't find an OS on a disk that isn't mounted.
If you change the boot order in the bios from the windows drive to "ubuntu" (zorin) drive first, grub will find win on its own.