All DECstations have firmware, but none of them provide the kind of window-driven setup that PC BIOS does. While there's usually nothing wrong with updating to the last released firmware, there's also usually not a lot to be gained unless you've run into a specific problem and found an indication that a different firmware release will fix it. By and large, the firmware on these systems does little more than load and execute software (from disk, tape, CD, or the network), examine/modify memory, dump the processor state, manage a few variables in NVRAM, and perhaps a few other low-level tasks.
Let me ask a different question - what do you expect to do with any DECstation firmware you can find?