Hello DoctorDNS,
I have found the solution to your problem! It just happened to me, and I managed to find a fix. To understand how this works, we must first specify how a MSI file differs from an EXE file. While EXEs are real applications with executable code, MSIs are just a set of instructions designed specifically to install programs. So, you can't find an MSI that is not an installer, while EXEs can be used for many, many things.
Now, what's happening to you? Well, since the MSI you downloaded will update the version of your WSL installation, it needs to delete the previous one first. In order to do this, it needs the MSI of the previous installation, because the installer has to look for the instructions with which the previous version has been installed, and follow them in reverse, to uninstall the version. Then it will copy the new files.
So, to sum everything up, you have to provide the MSI that you are executing with the MSI of the version already installed. To know your current WSL version, go to Apps and Features in the Control Panel and look for "Windows Subsystem for Linux Update", and check your version number on the right side. Then, head over to the Microsoft Catalog and download that version.
Finally, run the MSI of the new version that you want to install and, when prompted, point the dialog to the MSI you just downloaded. The update should successfully install afterwards. Hope this helps.
Bye!