We are currently testing the wyBuild-Tool and it looks like very good - but for the case there is a failure in the wyUpdate.exe file - is there a possibility that the wyUpdate.exe can also automatically update itself?
Yes, wyUpdate self-updates by design. You don't have to do anything special. If you want to host self-updates on your own site, you can do that too (see: How to make a custom version of wyUpdate) but you don't have to, of course. You can just use the default self-update sites (google.com & wyday.com as a backup).