Steam is running all the time when my computer is on (and I use my computer every day), and games just keep themselves up to date. For a given game that I'm trying to play, there's maybe a 15 minute period every couple of months when I wouldn't be able to launch it immediately.
The Windows updates aren't required in order to play games, and they can just be delayed until the next time you're restarting. Not a huge deal there.
For the console, btw.: all of them support nightly updates, so I rarely have the problem there.
The worst was when my Windows machine would restart itself in the middle of gaming to install updates, but luckily you can turn that off.
Mostly, though, the applications and services in Linux can be restarted individually, making updates a non-reboot snap.
I now run linux mint on my gaming rig, so that's never a problem
This is possible to turn off in Windows, but requires fiddling with the registry.
I just realised that my original post wasn't clear - my computer RESTARTED in the middle of my game. Hence my frustration :).
Also pc's are often left on/used for other things so the windows, steam and game updates all kinda just download and install in the background so when you go to play its usually just ready, unlike consoles where you turn it on and it then has to download/install everything as you wait to play.