I had the same issue. After updating, android rebooted, threw an error with the message com.mediatek.ims crashed, rebooted again and all my apps had their settings deleted. After that, the update worked fine and the phone is on the May patch level, but the damage had already been done. Some things are still there, like WiFi credentials.
Posting about making a backup is not very constructive, most apps do this already by logging in again. The issues here is that a security patch is breaking phones, Nokia should investigate.