I can confirm it happens to me to in amd64 PC.

Here is the info of the package installed right now:

Package: grub2
Version: 2.04-1ubuntu12
Priority: extra
Section: universe/admin
Origin: Ubuntu
Maintainer: Ubuntu Developers <email address hidden>
Original-Maintainer: GRUB Maintainers <email address hidden>
Bugs: https://bugs.launchpad.net/ubuntu/+filebug
Installed-Size: 16,4 kB
Depends: grub-pc (= 2.04-1ubuntu12), grub-common (= 2.04-1ubuntu12)
Homepage: https://www.gnu.org/software/grub/
Download-Size: 2.576 B
APT-Sources: http://es.archive.ubuntu.com/ubuntu eoan/universe amd64 Packages
Description: GRand Unified Bootloader, version 2 (dummy package)
 This is a dummy transitional package to handle GRUB 2 upgrades.  It can be
 safely removed

Package: grub2-common
Version: 2.04-1ubuntu12
Priority: optional
Section: admin
Source: grub2
Origin: Ubuntu
Maintainer: Ubuntu Developers <email address hidden>
Original-Maintainer: GRUB Maintainers <email address hidden>
Bugs: https://bugs.launchpad.net/ubuntu/+filebug
Installed-Size: 1.338 kB
Depends: grub-common (= 2.04-1ubuntu12), dpkg (>= 1.15.4) | install-info, libc6 (>= 2.28), libdevmapper1.02.1 (>= 2:1.02.36), libefiboot1 (>= 37), libefivar1 (>= 37), liblzma5 (>= 5.1.1alpha+20120614)
Conflicts: grub-legacy
Breaks: grub (<< 0.97-54), grub-cloud-amd64 (<< 0.0.4), grub-coreboot (<< 2.02+dfsg1-7), grub-doc (<< 0.97-29ubuntu60), grub-efi-amd64 (<< 2.02+dfsg1-7), grub-efi-arm (<< 2.02+dfsg1-7), grub-efi-arm64 (<< 2.02+dfsg1-7), grub-efi-ia32 (<< 2.02+dfsg1-7), grub-efi-ia64 (<< 2.02+dfsg1-7), grub-ieee1275 (<< 2.02+dfsg1-7), grub-legacy-doc (<< 0.97-29ubuntu60), grub-pc (<< 2.02+dfsg1-7), grub-uboot (<< 2.02+dfsg1-7), grub-xen (<< 2.02+dfsg1-7), grub-yeeloong (<< 2.02+dfsg1-7), shim (<< 13)
Replaces: grub, grub-cloud-amd64 (<< 0.0.4), grub-common (<< 1.99-1), grub-coreboot (<< 2.02+dfsg1-7), grub-doc (<< 0.97-29ubuntu60), grub-efi-amd64 (<< 2.02+dfsg1-7), grub-efi-arm (<< 2.02+dfsg1-7), grub-efi-arm64 (<< 2.02+dfsg1-7), grub-efi-ia32 (<< 2.02+dfsg1-7), grub-efi-ia64 (<< 2.02+dfsg1-7), grub-ieee1275 (<< 2.02+dfsg1-7), grub-legacy, grub-legacy-doc (<< 0.97-29ubuntu60), grub-pc (<< 2.02+dfsg1-7), grub-uboot (<< 2.02+dfsg1-7), grub-xen (<< 2.02+dfsg1-7), grub-yeeloong (<< 2.02+dfsg1-7)
Homepage: https://www.gnu.org/software/grub/
Task: ubuntu-live, kubuntu-live, xubuntu-live, lubuntu-live, ubuntustudio-desktop-core, ubuntustudio-desktop, ubuntukylin-live, ubuntu-mate-live, ubuntu-budgie-live
Supported: 9m
Download-Size: 589 kB
APT-Manual-Installed: yes
APT-Sources: http://es.archive.ubuntu.com/ubuntu eoan/main amd64 Packages
Description: GRand Unified Bootloader (common files for version 2)
 This package contains common files shared by the distinct flavours of GRUB.
 The files in this package are specific to GRUB 2, and would break GRUB
 Legacy if installed on the same system

I can "fix it" temporarily doing grub-install /dev/sda but next windows reboot it fails again.

I have forced windows to use "\EFI\ubuntu\grubx64.efi" so I am not sure if grub2 is to blame, but on ubuntu 19.04 this seemed to work correctly.