SOLVED.
BUT BEWARE, SEE COMMENT BELOW!!!
It was quite easy to dual boot Windows 10 and Solaris 11.3 (when you know what to do). These are the steps:
1) Install Solaris 11.3 first.
2) Install Windows 10. It seems that "fast boot" option can cause problems when dual booting, because "fast boot" changes the UEFI boot options, so when you dual boot the UEFI, choices might not be correct because Win10 edits the current UEFI boot option. So I turned off "fast boot" option in Windows 10 just to be safe.
3) Choose which OS to boot via "boot menu" when you startup the pc.
Do not install Solaris first, because then Windows installation will break and not boot up "Windows needs repair, insert repair disk, etc etc". Install Win10 first.
WARNING!!! BEWARE: Windows 10 will overwrite other disks if they contain other filesystems than NTFS. This happened:
1) I created a Win10 install USB and checked it could really boot up. I booted the Win10 install USB and browsed the different disks in my system, and then I exited without saving anything or doing any changes. I just browsed my disks and examined some options Win10 offered, no changes. And when I rebooted into Solaris 11.3, the system disk was dead. Win10 install program had somehow overwritten my boot sector in the Solaris system disk. Solaris was unbootable. Just by starting up the Windows 10 software, it started to change my system disk.
So, do not boot up the Windows 10 software if you have non Windows OS - because it is likely Windows will overwrite the boot sectors.
2) Because my Solaris system disk was unbootable now, by the Windows 10 install software, I inserted a new SSD disk and installed Windows 10 on the new disk. I partitioned the SSD disk so I could start with installing Win10, and then I wanted to install Solaris 11.3 - but this was wrong as it caused problems. The correct way is to install Solaris first. I did not know this, so I installed Windows 10 first. So I had a new unallocated SSD, and created a Win10 partition and started the Win10 installation. It turned out that Windows 10 install software, OVERWRITES other disks in the system as a scratch area. I had my large 4TB zfs disk full with data, and Win10 install software partitioned my zfs disk into two parts, and formatted the first part and copied some Windows files to it. My 4TB zfs disk is gone, because Windows 10 has used it as a scratch area.
So, when you install Windows 10, remove ALL OTHER DISKS in the system, or chances are that Windows 10 will overwrite them with garbage as Windows mistakes ZFS and other filesystems as raw disks.