Having recently added a new D3500 to my gear. I was curious about whether it had the latest firmware installed. I found the same thing that Bengt reported...there isn't a firmware upgrade offered by Nikon.
For my US D3500 with an AF-P 18-55mm VR kit lens, the camera reported the following firmware versions: C:1.00, LD: 2.018, LF: 1.00
If you're simply moving files from the camera to a computer, I agree that a card reader is the best way to do that. If you're trying to load images from the camera to an iPhone, you must use Nikon's SnapBridge app for iOS. The procedure is described in detail on pages 174-178 of the D3500 manual.
FWIW, the update message may be related to the version of SnapBridge app rather than camera's firmware.