No. Windows updates are already available on the internet, so you don't need to distribute them to your CMG.
In past versions, Configuration Manager blocked update packages to cloud-based content sources. This constraint was removed so you can distribute third-party software updates. Don't distribute to the CMG any updates that are available from Microsoft Updates.
Configuration Manager clients have native affinity when using a CMG to get updates directly from the Microsoft Updates cloud service. For more information on how CMG works with Microsoft Updates service and configuration guidance, see the blog post on Managing remote machines with cloud management gateway in Microsoft Configuration Manager.