The Live Update is made like that following users suggestions they don't want to have dialogs or confirmations block it, because many users launch it automatically before starting the sim, as part of an automated batch process, so they asked not to be stopped by any confirmations windows.
If you want to be in control, check what's going on and pay attention the updated files log, just use the FSDT Installer instead. Note that, while it might "look" differently, they are one and the same program, which changes its user interface depending which icon starts it.