Whether do do a clean installation of Catalina (by running the Installer App from the Applications Folder), or an Update, the installer file gets removed when the installation/upgrade completes. Myself, I always do a clean installation. But after the installer files downloads, I quit that process, and make a copy of the installer file to another location on my machine. I then remove the one from the Applications Folder, and then run the installer file from that other location. It does not get removed.