You didn't describe your NUC model, so I can't give you the correct link for driver downloads, however before you run the Thunderbolt 3 Firmware update tool you should:
- Update your Windows to version 1809.
- Update the Thunderbolt Bus Driver to the latest version.
I got similar problem NUC8i7HVK. I have downloaded the the Thunderbolt Bus Driver (the previous version, rather the last DCH driver) https://downloadcenter.intel.com/download/27796/Thunderbolt-3-Driver-for-Windows-Server-2016-for-Int.... I've ran the Thunderbolt Driver installer (setup.msi) and chosen to uninstall the Thunderbolt Driver. Then I've reinstalled the Thunderbolt driver. From now, the Firmware Update tool worked correctly and the firmware was successfully updated.