I just setup my board and had no problems at all. The drive doesn't show up in boot option, but it does in the list of sata drive. I have mine set to raid too. I have the Z170x gaming 3.
Boot from the UEFI DVD, Set it windows 8/10, didn't touch the CSM, set the storage to UEFI, & set the Sata controller to Raid. I'm still say it has to do with the NVMe dirve. I'm using a Crucial MX200 M.2 Type 2280SS (Single Sided) 250GB SATA.