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I wish to update my Macbook Pro from El Capitan to Sierra. But I'm afraid it would remove files from my Windows 10 running on Bootcamp. Will it by any means, delete my data from the Bootcamp Partition?
Updating macOS should not impact data on any other partitions on your disk.
Nevertheless it's always a good idea to ensure you have a backup of everything important before performing major maintenance activities (as e.g. an OS upgrade).
It will not delete your Bootcamp partition unless you do a clean install and delete your bootcamp partition from Recovery Mode (partition).