Set EFI to boot Windows via (U)EFI one time
I finally can boot to Bootcamp EFI partition with the help of this answer. 

In order to boot to Bootcamp EFI partition, you have to bless the EFI partition of the disk that you install Bootcamp, too. So it goes something like this: bless -device /dev/disk0s1 -mount /Volumes/BOOTCAMP -setBoot -nextonly.