It's always annoyed me that Windows Update downloads everything before it begins any installs. Assuming I have no Internet Explorer updates or network drivers or anything else like that to install that might affect my connection, is it possible to have updates be installed as they are downloaded rather than needing to wait for all of the other updates to download? I have Windows 7 SP1.
I think that there are just possible workarounds which could not be easy to proceed with. You can grab wsusoffline and get the updates. If you want - the core of it are foss software and some batch and vb scripts.
Maybe you can use it as a source to do similar what you want.
Anyhow it only works with updates ms gives away as accessible ones. It does not contain the specific updates p.e. for hardware. (I prefer to update hw. drivers via the official sources than ms.)
Other possible way to make a change - Find a page or contact on microsoft's site or any way to reach the developers and file a feature request or tell them the idea.
I agree with your idea on that point that it can save up time. Probably a (hidden or accessible) ["Download & Install"] button would also be fine in the WU window.