You can check your current version by going to the Help menu, the version will be shown at the bottom of the dropdown.
If your version is 2020.0 you will not be able to update using Check for Updates on that menu. Instead, go to Downloads and download the latest version from there.
From 2020.1 onwards, Check for Updates has installed the correct update. For a short while, the Downloads page link to Update 3 downloaded Update 2. If you updated during that period, check the Help menu again. If Update 2 is still showing, either use Check for Updates, or if you cannot for some reason, go back to the Downloads page and download again.
All downloads on the Downloads page are full versions so you do not have to apply them incrementally.