Indeed when you look at the file system, you'll see more than one SmartConsole build. When doing the auto-update, we save one historical build, but delete earlier ones. There should not be more than 2 builds on your disk.
This has two main benefits:
1) You can keep working with the existing build while the auto-update is happening, and choose when you want to relaunch. We don't override the current build's files.
2) In case of crisis (unexpected critical bug), you can manually run SmartConsole of the previous build and you are not stuck.
Note that the PROGRAM directory is a link to the latest build. If you create shortcuts, you should use that path and it should avoid issues with running the wrong build.
UPDATE: It looks like Windows application pinning takes the path from the running executable and not the link that ran it. It's not ideal, but you can modify the pinned shortcut and put "PROGRAM" instead of the build directory and that will make sure the pinned application uses the latest build directory.