Right at this step the window disappears (and this is being run as administrator)
THAT window IS supposed to automatically quit, because it's only the 1st stage updater, which just check for updates to the "real" updater, allowing the updater to "update itself" so, the 1st stage updater should disappear as soon it checked for updates of the 2nd updater and started it.
So, you are supposed to see that window disappearing, and the 2nd updater starting up.