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In answer to installing grub2 on UEFI GPT:

In brief, on an EFI-based system, you do not install anything in the MBR; instead, you install a Linux EFI boot loader or boot manager in the EFI System Partition (ESP) and set it as the EFI's default boot program using a tool such as efibootmgr (in Linux), bcfg (in an EFI shell), bcdedit (in Windows), or the EFI's own user interface.

How can I do this step in the most risk free way possible? I would want to install a Linux EFI boot loader or boot manager in the ESP and set it as the EFI's default boot program using efibootmgr.

What needs to be backed up for a Windows 10 system prior to making this change? The UEFI boot entries?

GRUB 2 would be the typical choice for a boot loader?

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GRUB is quite common, yes; grub-install (no arguments required) will call efibootmgr for you but feel free to experiment with the latter reading out the NVRAM using e.g. ALT Rescue; Rod's book on EFI is a well-formed well of knowledge on the topic, highly recommended.

Backing up whole disk is the most safe as usual, and the minimalistic measure is backing up EFI System Partition (the FAT32 one) along with your data.

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