The names Black, Cyan, Denim, etc., are not OS updates. They are firmware only and always have been. OS updates are labelled as General Distribution Releases. Yes, OS and firmware updates are almost always bundled together but if you already have the updated OS version, such as through the Preview for Developers, you would only get the firmware. If you installed W10 for phones, then there is no reason for the OS to change so only your firmware gets updated.
As far as your post above, Nokia claims Denim is OS + firmware because the majority of consumers are not enthusiasts and don't care about these things. Nokia phones on WP8.1 will get WP8.1 GDR1 as well as the Denim firmware update at the same time. An example of this is the Lumia Icon. Some older devices, such as the 1020, will only get an OS update and are Denim only in name since there will be no firmware update bundled with the OS (my guess is that this was done for consistency across all Lumia devices). The update process verifies which device and what software you are running on that device and will update only what is required. So, if you already updated the OS through PFD or Windows Insider, you will only get the newer firmware.
Also, the only time people have had to flash back or downgrade the OS was due to the BitLocker issue which eventually got resolved without having to flash back.
I wish Microsoft would get rid of these names and just update all devices - desktops, laptops, tablets and phones - through Windows Update. Since W10 is the same on all devices, I'm hoping that's the direction future OS updates will go.