....
Unfortunately you cannot rollback. ...

According to the wiki you can roll back by "removing the reference to
WGALOGON.DLL using HijackThis appears to effectively de-activate this
update, to the point where it will be offered again if it has not been
marked "do not show"".
Or your firewall may be able to block access to wgatray.exe. FWIW, I
strongly recommend checking custom when doing updates and then reading
each description carefully. Microsoft does not have your best
interests at heart.

-- Tom.