That was most likely an OS update... not a firmware update.
A firmware update wipes your phone. This has been mentioned multiple times now.
*Edit
Apologies I meant to point this out. Hopefully I did not confuse anyone.
Updating the Firmware by means of the WDRT will wipe your phone.
Updating via OTA will not.
Either way though, the firmware is distributed via the wireless carrier and not the Window update server.