You need sys-boot/os-prober to detect windows. From the Grub2 Gentoo wiki page:
Additional software
Optionally, install the os-prober utility (provided through the
sys-boot/os-prober package) to have GRUB2 probe for other operating
systems when running the grub-mkconfig command. In most instances,
this will enable GRUB2 to automatically detect other operating systems
including Windows 7, 8.1, 10, other distributions of Linux, etc. root
emerge --ask --newuse sys-boot/os-prober
The GRUB2 (and optionally sys-boot/os-prober) installations do not
automatically enable the boot loader. These only install the software
on the operating system, but to install the boot loader to the system
itself (so that it is used when booting the system), additional steps
need to be taken, which are covered in the Configuration section.
And:
The sys-boot/os-prober utility is used to discover alternate installs,
such as Microsoft Windows. To function properly, it needs to have
access to information from the live environment's udev to test for the
EFI System Partition.
Run these commands in the host environment to provide the required
files (example shows Gentoo mounted on /mnt/gentoo like in the
Handbook):
root #mkdir -p /mnt/gentoo/run/udev
root #mount -o bind /run/udev /mnt/gentoo/run/udev
root #mount --make-rslave /mnt/gentoo/run/udev`