In addition to the Windows update site, the automatic Windows Update finds the new software version and tries to install it. During installation, the program requests the user’s consent once again. If you then cancel, your desktop firewall may set off an alarm because an update program is trying to connect to the internet.
Included in the information sent back is the OS build number and other encrypted strings. This personally doesn’t bother me too much, but I agree with others that it should tell you information is being transmitted, especially after telling you it would not happen. What else have we come to expect?
Source: Heise-Security