If your asking if windows update has to be set to automatically update, yes, if you want MSE to update automatically. If you asking if there is an option you must change in order to make it download the updates, I believe so. I'm pretty sure I saw an option while installing it, and left as the default. I don't do have updates set to automatically install, so I still have to do it manually.
I like it a lot. I used to swear by AVG, but it didn't seem to do so well in 64-bit Windows, so I installed MSE, since it had a 64-bit option. It's not as user friendly, but it works just as well as AVG did in XP, if not a little better. AVG does have the problem of some viruses being made to specifically target it. As MSE is not as popular, it does not have this issue.