In my jenkins.xml, the comment explains how to use hudson.exe but it should be jenkins.exe:
"Windows service definition for Hudson

To uninstall, run "hudson.exe stop" to stop the service, then "hudson.exe uninstall" to uninstall the service.
Both commands don't produce any output if the execution is successful."

Hudson should be replaced by Jenkins
hudson.exe should be replaced by jenkins.exe

https://github.com/jenkinsci/jenkins/blob/master/core/src/main/resources/windows-service/jenkins.xml