I've done quite a few W7 to Win10, Win8 to Win10, and Win10.10240 to Win10.10586 upgrades now since Christmas.
About 18 in total.
Every single one had some sort of hiccup.
But generally nothing a bit of persistence couldn't sort out.

UNTIL....

I upgraded my fathers laptop from Win10.10240 to Win10.10586.

Actually the upgrade appeared to go well, and quite quickly thanks to the SSD I installed a few months ago.
But after the reboot I noticed his desktop background picture was missing and just a plain coloured background instead.
No matter, I'll just reset that.
That's when I discovered that a sub-folder in his Pictures was missing, along with 5818 files.
His desktop picture was in this folder.
It wasn't in the recycle bin, and it wasn't in the Windows.old folder either.
A search for the folder name found nothing.
It was gone. 

It was most fortunate that I still had a copy of his files from the SSD install otherwise they would have been gone for good.

From now on I will backing up all data folders before doing Win10 upgrades.
You could say perhaps I should have been anyway, and I had just been riding my luck until number 19.
Perhaps.
But Microsoft, that was very poor form.
And to anyone else who is doing these upgrades, please beware, this can happen.