That is a disclaimer in order to get people to use the proper protocols
which are fine if it writes what you want and where you want it. If it
doesn't then you have to take matters into your own hands. Yes, you should
use upgrade-grub, but that is no use if it is writing what you don't want. I
have had to edit grub.cfg a number of times. I have had to do it in Fedora
12 in order to get the proprietary nVidia driver to work with Plymouth and
when I have installed some distros that write grub incorrectly. It is your
decision.

It is just a text file. You need to edit it as root. Use sudo gedit from a
terminal to do this. If you cut and paste the Windows section and move it to
the top then it will boot into Windows first. Or you can change the zero in
set default="0" to the number in the list of OSes that corresponds to
Windows. For me cut and paste is easier than counting OSes and getting that
right.

If you can figure out how to change the default without manually editing
grub.cfg, please post it.