You might have missed Andy explaining this "Windows Update" capability when searching for new firmwares, however that backend never got implemented. So it does not work at all.
On the other hand (by looking at your other post in the firmware topic): if you think this might work, it suggest your cam can indeed speak to the internet. Then you should not be worried by having outbound connectivity (concerning privacy that is), because you'll never know what kind of information you are giving "for free" to Dahua by pushing that "search for firmware" button (until you intercept those messages).