Actually not.
tdm_update was always bundled with TDM, because it was versioned and released synchronously. You could not use new tdm_update to get an old version... installing old version was not supported at all.
Now tdm_installer versioning is totally separate from TDM releases. That's because every TDM release is treated as a bunch of zips with a few hardcoded archives auto-unpacked (and some whistles like desktop icon). As the result of such simplification, old versions of TDM are supported, and you should always used the most recent version of tdm_installer. For this reason, tdm_installer is no longer bundled with TDM release, so you need to download it from the website.
Another reason to download tdm_installer from TDM website is security. If you have downloaded it from a different server, you cannot be sure that it will install a correct build of TDM and won't silently turn your machine into monero miner (or destroy your data as cryptolocker). Luckily, this danger is still only theoretical for TDM, but better be safe.
On the other hand, it does not matter where you initially got 3-4 GB of TDM zips: after you run the correct tdm_installer on your TDM installation and let it successfully finish, you can be sure that it does not contain anything malicious (well, I won't be surprised if there are holes for a malicious TDM to survive tdm_installer run, but that would be way too targeted attack).