Similar to the post from my colleague Stefan (SharePoint Server 2013 screenshots) I can talk a bit about my experience.
My SharePoint Server 2010 was updated until November 2014 CU and I run WindowsUpdate:
From Support we are always suggesting that the best thing is to update with a Full-Server package of the latest cumulative update. Because you can manage it and will not do hidden things. The situation is not new because also in the past we got SharePoint security updates through WindowsUpdate. Especially when reading all the comments on Stefan’s post, yes, you are right that it is a new situation now getting the monthly CUs also through WindowsUpdate.
What to do now?
I would say that you can do it you always did in the past, remember, security updates are coming every month. An update strategy may vary on the different business needs you have and therefore just providing one may not help in any case.
Here you can chose how WindowsUpdate may update your Server and once a month you might check what will be offered to decide how to update.
I installed February 2015 CU, ran check updates and voila, the provided SharePoint updates are not there anymore. That means these are not necessary anymore and my Server is up2date.