Navigate to the recover screen in Windows, then select "Restart Now".
You will see this screen:
Select "Continue" and then hold down the option key. And you get back to the Startup Manager.
Overall - this sucks and shows how Microsoft and Apple both don't know how to play nicely...
This is for the following MacBook Pro model: 15 inch, 2016, 2.9Ghz intel core i7, 16GB RAM.