The Windows installer (more importantly the automated creation of the boot manager/BCD data) doesn't have the ability to identify other installed OSes (such as Ubuntu) and therefore give you the choice upon boot.
In contrast, however, the Linux installer (again, more importantly the GRUB2 installer) DOES have the ability to identify that other OSes exist on the same hard disk; and it knows to create the correct boot data to allow you to choose which OS to boot when your computer boots.
It's important to understand that when you install GRUB (GRUB2 for modern releases of Linux) that it becomes the initial bootloader for your computer. The Windows boot manager will exist but GRUB knows to hand off to it to boot Windows - this is known chainloading.
The Windows boot manager can be used to boot Linux, but it is much more complicated as you need to edit the BCD data manually to add the entry.
Using GRUB2 automates the boot data hard work for the user.
As a result, it is easier (and recommended) to install Linux after Windows -> the installer will identify Windows and ask if you want them to run side-by-side -> you decide what you want! (The Windows installer isn't this nice to other OSes! It'll see the partitions but not the OSes so won't allow you to choose - it'll become the default).