Microsoft is working to fix a known issue blocking Azure Virtual Desktops devices from downloading and installing recent security updates via Windows Server Update Services (WSUS) The known issue impacts both client (Windows 10 Enterprise multi-session, version 1909) and server platforms. Microsoft is currently working on resolving this bug and will update addressing the bug in an upcoming Windows release. Until a fix is available for this issue, Microsoft provides two workarounds that would allow customers to apply monthly security updates on systems from WSUS.
Source: https://www.bleepingcomputer.com/news/microsoft/windows-update-bug-blocks-azure-virtual-desktops-security-updates/