Actually on gpt disks (which is what you will have in a uefi machine), the first sector is filled with a dummy mbr, just to reassure programs that expect to find one. There's no boot code until you install it, but there is a dummy partition table with one whole-disk partition on it.

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Does that apply if I access root command thruogh Grub and not through the Live CD?

If I'm in root and I did type sudo does it effect what I'm coding?

How do I reboot or save and exit when I want to wrap things up from within command line? using live cd or through accessing command line through GRUB? I tried:
reboot, shutdown and number of other things.

Wether or not #sudo command does something different or not I do not know it is just
over kill - root user does not need sudo command.

It depends on how or what you are using to do whatever it is you need to do first .before I could tell you how to save whatever it was you needed to do first.

nano has its own save commands.
VI has its own save commands
cat has its own save commands
etc...

depending on what level you went to and how you got there. If everything is saved properly 'exit' will boot you out of it, three finger salute may work, hard shut down defiantly works. just got a keep in mind posable consequences from that one.

anyone else?

sda1 is root?
I have a separate boot partition so /boot is referring to that?
sda3 is ESP partition?

I think you need to get back to some basics and probably read a little about Kali before you continue. You do know that Kali is designed specifically and exclusively to be used for penetration testing and computer forensics. The Kali developers created the system so that when you log in you ARE root. You do not need to use 'sudo' to switch to the root user becasue you ARE root when you log in. Using sudo at the Grub prompt won't do anything different.

Are you still trying to find file for Kali on the EFI partition? The commands suggested above should do that. What are you wanting to save? You are pretty limited in the commands you can run from Grub since it is just a bootloader. If you are using the Kali Live CD that's different and if you want to see if there is an EFI partition and what it's contents are, run either fdisk -l or gdisk -l (Lower Case Letter L in both command) and look at the output or post it here. You can run the mount commands suggested by hazel to see what is in those directories.

Since you indicate you can boot windows UEFI and you are having all this difficulty getting Kali to work, you might be better off installing Kali on a flash drive. Their site has very detailed instructions on doing that and you could then format the old Kali partitions to be used for data.