Yes, that works. If your computer has a built in boot manager (most newer
computers do) then you can press a key (mine is ESC) that will show
the available HDs and it will allow you to select one from the list. That
way you can have two bootable sectors and you just need to point to them.
You can even have different versions of GRUB on each drive or GRUB on only
one and Windows with its own boot manager on the other. You just have
to know what you are doing when you set it up.

I have used WUBI, dual boot, VMs, Qemu, KVM, etc. But now prefer two
separate computers. One for Windows and one for Linux.