When are you calling gms_show_update? If you call it right after gms_settings, the server may not have had the time to reply. Also, please note that you'll only be able to use the auto-update feature if you're using the GM8 / GM:Studio (Windows) versions. The GM:Studio (All) version is not supported.
What host are you using? GameMaker Server does not support HTTPS-traffic (and due to a technical limitation, it will not get support for HTTPS anywhere in the near future). There's a bug in the current version of the extension that will crash the game when the host forces HTTPS traffic.