MacBook Pro starts with "Installing onto SSD" MacBook Pro Retina mid 2014 13" macOS catalina 10.15.2 I believe. Suddenly during startup it goes into some grey mode and says "Installing onto SSD". 

I've not seen this mode before. Will it erase my files? I have shut it down using the power button because I didn't want to overwrite personal stuff... Any idea why this mode comes up? 

I have used Windows 10 Bootcamp on an external drive, which I have disconnected, and also another external drive, now disconnected. Maybe it's related. Also when I do Cmd+R it goes into internet OS installation. Would that erase my files or is it safe to continue?
It was just the update to Catalina 10.15.3!