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The combo should appear in the App Store if you're still running 10.11.0. It's pretty much the same as the direct download, but some people just prefer the direct download.
OOHH okay. Thanks. I guess it may be for those who decided to skip one version..
 
So which one we should use. Updating from Mac App Store or direct download the 'Combo Update'? BTW, why there is no the 'Combo Update' for 10.11.1 or earlier.
 
So which one we should use. Updating from Mac App Store or direct download the 'Combo Update'? BTW, why there is no the 'Combo Update' for 10.11.1 or earlier.
It doesn't matter. If you skipped few version..combo will good.
 
So which one we should use. Updating from Mac App Store or direct download the 'Combo Update'? BTW, why there is no the 'Combo Update' for 10.11.1 or earlier.
As @pat500000 mentioned above, if you're running 10.11.1, you don't need the combo update, which also includes the changes made in 10.11.1 for users running 10.11.0. Updating from the App Store is fine, or you can download the update for 10.11.1 here: https://support.apple.com/kb/DL1849
 
The combo updaters from Apples website, I guess, is most often used for offline installs. They can be downloaded, and installed at any time one wants.
Some people might not use the app store at all, and would prefer to download a file, like with a lot of other applications.

I do usually keep a combo updater on my USB drive, just in case a friend needs an update to their Mac, and have no, or a slow internet connection.
 
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