The April 2020 build of Calyxos (build 2020.04.07.17) did not include the OTA Updater due to a misconfiguration.
This means that it will not update to the May build by itself, you need to follow two quick manual steps:
1) Open F-Droid, pull down to refresh the repositories. After the refresh completes , check the updates list. You'll see an update for "Seamless Update Client", install that update.
2) Open the newly updated "Updater" app. It'll ask you "Let app always run in background?", please hit allow, and then it will start updating the system