...Are we going to download the entirety of updates that have ever been released for Windows every month?
If you update online you get just the changes. If you download and install you get the whole thing.
Microsoft answered this and many other concerns on their blog last month. Your particular answer can be found in the comments.....
September 15, 2016 at 8:37 am
... Monthly rollup will grow to be about the same size as Convenience rollup update. If you install via WU or WSUS you can take advantage of the Express feature to just have deltas going across the network. Security-only update will obviously be much smaller.