What CU level is your instance at? (SELECT @@version will tell you). This GDR applies to the RTM version of SQL 2019, which you should not be on in my opinion. If you are on CU21, you already have this fix.
Security Update for SQL Server 2019 RTM GDR (KB5021125) cannot be update

When I try to install the security update of SQL Server through Windows update, I received the following error:
There were some problems installing updates, but we'll try again later. If you keep seeing this and want to search the web or contact support for information, this may help: (0x80070643)
Please advise,
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Erland Sommarskog 121.9K Reputation points MVP Volunteer Moderator
2023-07-01T21:44:33.9266667+00:00 -
Erland Sommarskog 121.9K Reputation points MVP Volunteer Moderator
2023-07-03T08:13:29.9533333+00:00 After upgrading to CU21, the windows update keep asking for update the GDR
OK, so then we are past the SQL Server aspect of the problem, and what you want to do know is to tell WIndows Update to ignore this update.
SQL Server is my expertise, so when it comes to Windows Update, I'm quite much of an an amateur. But I went to Google, and this link seems promising: https://www.minitool.com/news/how-to-block-specific-updates-on-windows-10-11.html