Not exactly, let me give you the scenario.
you upgrade your VMSS GWs to R81.20 and they work well. the next day you get another instance deployed automatically but it's deployed in your previous version because your VMSS template is still configured on the original version you created it on.
so in-place upgrade isn't supported because it won't help you with AutoScale deployments. that is why you need to create a new VMSS with the new version so any future auto-deployments will be with your desired version.
And we can't change the version in the already deployed VMSS.