Prevent Desktop icon

Is there a way to prevent desktop icon creation, when installing or better, installing an update?

Uncheck the Create a desktop icon option in the installer:
https://winscp.net/eng/docs/ui_installer_selecttasks

Will my decisions remembered somewhere, so that i have pre-selected this for the next time, a new update will be installed?

Yes, it's remembered. You only need to set it once.