Yes it must be installed, otherwise you won't be able to install next april ESU (either april rollup or april security only).
I followed the tutorial. It's not working through Windows Update for me. I get nothing for March 2020, etc.
Assuming you did exactly what was needed to correctly install all. First try a reboot, if it still doesn't work, Reset WU: Code: net stop wuauserv Code: delete c:\windows\softwaredistribution Code: reboot and retry WU
you will receive it through WU as well after installing the march rollup then rebooting the machine using last version of bypass v5.
It worked after a second reboot and resetting Windows Update - which I did last night as well. The order the updates were pushed to me was: Servicing Stack Update (3-2020) Cumulative Security Update (3-2020) Thank you! No idea why it didn't initially work other than it might not have been pushed to the server I was connecting to yet. Who knows?
WU only offers the rollup, the separate updates always need to be downloaded manually, all updates are listed here and at the ESU updates overview.
I checked WU and got offered KB4540688. I installed it, rebooted as prompted, and then got offered KB4550735. Everything worked as a charm.