A firmware update wipes your phone. This has been mentioned multiple times now.
Then multiple times people have been wrong.
A firmware update received OTA (over the air) is just like an OS update. It installs, migrates data, and you lose nothing.
The only time a firmware update wipes your phone is if you use a flash tool (WDRT) to install it over USB.
Exactly! I can't stress this further as I see community members complaining that the firmware update has erased their data and reset their phone. As PepperdotNet mentioned, This may only happen for those who are trying to push the Update to come sooner via the Windows Device Recovery Tool (WDRT). Though these people are mostly aware of what will happen if doing so. I would suggest, to give the update it's time to roll-in to the phones as sooner or later it would surely arrive.
The best way to check for it is through Settings > Update & security > Phone update > Check for updates. or from by restarting the phone at least once a day would help. :)
Regards,
-Blaze