>> "Does it just copy the WyUpdate.exe from the WyBuild install directory?"
Yes.
>> "When would the WyUpdate.exe change?"
When it's updated.
>> "In the FAQ on your website it says " You should not included wyUpdate.exe in your updates - wyUpdate self-updates". Please explain how wyUpdate self-updates. Does it look for a newer version on WyDay servers and then automatically download a new version when WyDay release the next version?"
Yes, or servers you specify: https://wyday.com/wybuild/help/custom-wyupdate-version.php