I am familiar with the process you described and know that it works for many who are dual-booting. The issue I have, as do some others who dual-boot, is that selecting to boot the Windows disk directly from within the BIOS fails. You end up with a GRUB rescue
prompt. For some reason, the dual-boot setup we have requires the Windows installation to boot from GRUB. Windows will not boot without it in our case. Now I am sure this can be corrected by repairing the MBR using a Windows rescue disk, but I know from past
experience that this will likely damage the GRUB bootloader, requiring that it then be reinstalled, which is straightforward enough, but my point is that it should not be necessary. A fully booted Windows should install the required updates, no matter how
the OS is booted. This is something Microsoft should fix.
When you install the April update that includes the monthly security rollup, I would not be surprised if you have to go through the same process you did to get the March update. Again, this should not be necessary.