For that you need Qubes Window Tools installed:
Contents/docs/os/windows/windows-tools.md at master · Qubes-Community/Contents · GitHub
You need to install the qubes-specific packages for kali. Take a look at the following link. You may not even need an HVM for that:
Because Kali is based off debian testing, you use the qubes packages for
Debian-11
In most cases the Qubes packages will work correctly if installed in an
HVM, but this is not guaranteed, and in some cases is known not to work.