Are you mounting your laptop hard drive in Kali? Linux NTFS support is pretty good these days but if you fail to unmount it properly it will not set all the relevant flags and windows might detect that as the equivalent of not shut down properly. Kali has, or at least its precursor did have, some interesting tools for manipulating hard drives securely (kind of hard to be stealthy if access times are updated and such like) but I can not imagine they would trigger something so obvious as this.

Alternatively if Windows 10 is anything like Windows 8 in its approach to hard drives, power and hibernate/sleep modes (and though I have not confirmed this everything I have read says it will be) it will have some interesting things with low power modes and the data it stores. In this case you might consider mounting the hard drive with the secure options to prevent it from detecting something has a mismatch in terms of dates. I do not imagine UEFI itself will get in the way.

Ultimately it should not trouble your windows install so if you can skip past it then do so and it should not be a problem -- any problems will come if you delete things or edit the system files like it would if you deleted or edited things in Windows itself. Also if you have that kind of grunt then why are you running kali as a standalone operating system? Stick it in a virtual machine and you will have the vast majority of the things it can do available to you.

 

Normally Live-CDs aren't persistent across reboots unless you are running it with like a persistence flag set or installed an actual distro onto the USB (preferably while minimizing the number of writes to the USB).

I'm imagining right now that maybe the dirty flag has been set on your hard drive and it has nothing really to do with Kali linux and you just haven't cleared it yet, thus it keeps asking you to give it a check whenever you try to boot Windows. If on the other hand, you are clearing the dirty flag (by letting it check your drive or w/e) and it is still coming up every time after using a live CD then it might be as FAST said. I used to try a variety of persistent USB installs and I don't recall ever encountering something like the second situation though.