I have a Z170-HD3P and as you, I set OS to Other, and boot options and other drives are on UEFI Only.
I have a Samsung 128G 951 AHCI M.2 drive. I partitioned the drive for Windows (EFI, MS reserved and for C:) and left two other partitions for Lubuntu (EXT4 and Swap). I did install Windows 7 after loading SATA, AHCI and USB 3 chipset drives and it worked.
When I tried to install Lubuntu using a USB UEFI pendrive it couldn't "see" my 951 AHCI M.2 drive.
So I tried another approach. I've set boot options and other drives to Legacy Only or disabled. After booting Lubuntu using the USB UEFI pendrive it
could "see" my 951 AHCI M.2 drive and I've install Lubuntu without problems.
The main problem now is that it requires two EFI BIOS profiles.
To boot Windows I need boot options and other drives on UEFI Only. If I try to boot Lubuntu, It loads GRUB 2 but it doesn't go further, i guess because GRUB doesn't see my 951 AHCI M.2 drive.
To boot Lubuntu I need boot options and other drives on Legacy Only. If I try to boot Windows, It loads the Boot Loader but it doesn't go further.
The difference between my my 951 AHCI M.2 and your 950 Pro M.2 is that the 950 Pro M.2 is MVMe and it my require a drive.
My suggestion is to try boot options and other drives on Legacy Only.
I've once installed CentOS 6 and think it used old GRUB, and I think old GRUB only work on MBR. (Legacy).
My older MB boot options and other drives had two options: UEFI first and Legacy first. It was good I had the two kinds.
Now I have UEFI Only, Legacy Only, and Disable. Can someone explain me what kind of boot we have with Disable option?
Have a look on
http://ubuntuforums.org/showthread.php?t=2326622&highlight=z170