The level of control you have over Azure service updates depends on the type of service you are using and the update management solution you choose.
You can control some Azure service updates but not all of them. Some updates are automatically applied by Microsoft without any user intervention, such as updates for the Azure platform itself, Azure App Service, Azure Functions, and Azure Storage. These updates are usually non-disruptive and do not require any downtime or maintenance window. Microsoft notifies customers in advance of any planned maintenance that may affect the availability or performance of their services.
Other updates are optional or configurable by the user, such as updates for Azure SQL Database, Azure Virtual Machines, and Azure Arc-enabled servers as you can read here. With Azure SQL Database you can configure a maintenance window as explained here.