What is in this update because I was shocked to know that a Covid app has been updated on my phone

No, unless you downloaded a very specific app to your device, there is no Covid app. The means for such an app to work was added in a previous version of iOS, but if you have not searched for, and installed an app, there is no way it it is utilized.

You can turn this off if you want too. This is a handy alert and lets you know if you've been in close contact with someone who has tested positive for the virus.

As of this time there are only 3 states in the US that even offer an app for download.