No you're missing nothing. It is a rather perverse way for a product to work. I discovered there was a new version quite by accident, probably in this newsgroup, or an email from PCWorld.
It is not the only product to behave that way. As far as the previous version is concerned, you are all up to date. AdAware worked the same way prior to their SE Personal version. I ran for months on the old (Rel 6, I think) before discovering I was in fact NOT up-to-date.
And, even though I had registered and asked for notifications of updates from ZA, I didn't, and haven't, received one.
But, for free, maybe I shouldn't complain too much. It does work (well, except for the Pass-Lock function, which seems to have disappeared).
(Remove the ".NIT.invalid" from the end of my address)