Hi Joe
Menu item "00" will display your current firmware version. The 590SG I bought in November of 2016 came with firmware v1.03. (It also came with the fans installed backwards, as did most of the SG's produced in 2016.) As Flip said, the current version for the SG models is 1.07. The best reason for updating might be to take advantage of an undocumented improvement in the way the fans operate. The firmware update allows the cooling fans to start and run reliably at low speed. Without the update, the fans could get stuck and be unable to run until the temperature rose high enough for the control system to run them at high speed.
There is a small chance that something could go wrong during a firmware update, which may be why Kenwood didn't document the fan fix. A power failure during a firmware update could possibly damage your radio. You can greatly lower the risk by using battery power or a UPS for both your computer and your radio. The actual firmware update takes about three minutes. I have updated my firmware three times without incident.
I believe the fan fix for the TS-590SG was first included in F/W v1.05 which was released January 30, 2019. On this same date, Kenwood released F/W v2.04 for the TS-590S, which definitely included the undocumented fan fix.
Many thanks to Andy, k3wyc, for first noticing the change in fan behavior and to Frank, G0GSR, for proving the fix was included in v2.04 for the 590S models. See Andy's post #36953 for more information.

Gary - AC6EG