I also have never seen it on Linux but yeah, on Windows it is fine. As a general rule of thumb on Linux (any distro) do not use any applications built in ability to update itself (If the application is opensource this functionality would be disabled). Let updates be handled by the package manager.
To make things confusing... steam
will update itself regularly, this is fine. To my understanding this is because it is designed in a way that it does not touch anything outside of your home directory to perform the update which is an area the package manager will never touch. Browsers do something similar for their addons / extensions / components which is also fine and completely different to updating the application itself.