The download web page for Xpra for Windows (https://xpra.org/trac/wiki/Download) should show the version of the download, so you can compare with the version in the about dialog in the currently used version.
Also it would be nice if the download could be named with version Xpra-x86_64_Setup-3.0-22235.exe
Unfortunately, no, that's too much work to update every time.
The link you are following is a symlink, you can always browse the full directory and pick the version you want: https://xpra.org/dists/windows/
this ticket has been moved to: https://github.com/Xpra-org/xpra/issues/2259