I also noticed this behavior. I'm running the AA firmware (F18). First I can download the OTA, but not install it. Then i'm given the option to reboot. When I choose to reboot, only then the update will install and directly after that reboot.Yeah I did read it before proceeding. The thing is, now it does not say it just like it did in previous oxygen os builds.
I mean, I did download from settings app, it first says "Downloading", and then it says "Extracting" whith is actually installing, and then it says "Apply update" and all of a sudden phone restarts, I thought it would run the progress bar again and wait for me to press reboot but it just installed right away. I hope I remember next time!
So i don't have the luxury to flash magisk before reboot, but after install.
For some reason, the oneplus updater app method won't work for me, so i have to manually extract the boot.img and patch it every time there is an update.