I succeed with the update.
Go in BIOS, set the windows disk as first boot device.
Let the windows update reboot the computer as it likes.
When the windows update succeed, reboot to BIOS to set the "GRUB" (boot loader) disk back as the first boot device.
You get your multi-boot back to normal.
Well, if you are in my case, have one disk dedicated for Linux, and one disk dedicated for windows.
I had the same issue with Ubuntu being the Primary boot menu (grub as Active Partition; being the Primary Boot Drive in the BIOS. My system is dual boot with Grub bootloader on one hard drive and Win7 MBR bootloader on the other drive. After switching the Primary boot device in the BIOS to my win 7 bootable drive, installing the update manually using KB4474419 MSU, letting the machine reboot using the Windows 7 boot drive he update went though no problem. It should also be noted that I have no 100MB Reserve Drive and instead windows is installed with the reserve drive Drive C. All steps about 100MB reserve drive problems were not needed in order to install the update. I then switched back to the bookable MultiBoot Grub Partition is bootable though Grub.
My only thought or why this worked is Windows is looking to update code in MBR, boot sector or some code relating to how Windows is loaded after the POST of the BIOS because all I did to get the update to work was change the boot drive in the BIOS.
I am still waiting for the April 2019 security update to be available on my system to see if the update goes though OK using Grub as my bootloader.