Kovid's addressed this before. Auto-update would have to be done per platform, but Calibre is a cross-platform tool. Personally, I'd rather Kovid and other developers focus on new features and other problems rather than spend time trying to solve auto-update quirks on multiple platforms.
Edit: I believe Calibre's Windows installer uses NSIS. I'm sure Kovid would welcome patches for auto-update if they are solid and just work. As such, you could look at
this and see if you could patch up the installer to do auto-update.