It's a technical problem. On Mac, that's how it works [1]. On Windows, it uses Google Omaha, the same technology that is also used by Chrome [2]. This technology simply works that way, I believe because of permission issues (eg. user not allowed to write to C:\Program Files) and (I think) because it's harder on Windows to move/delete/overwrite an executable while it's running.

[1]: https://fman.io/blog/codesigning-and-automatic-updates-for-p...

[2]: https://fman.io/blog/google-omaha-tutorial/