I see SSP, CDI and VMImportConfig all currently upgraded:
============
cnv-qe-jenkins@cnv-qe-infra-01:~$ kubectl get ssp ssp-kubevirt-hyperconverged -n openshift-cnv -o json | jq ".status"
{
  "conditions": [
    {
      "lastHeartbeatTime": "2022-05-19T22:40:49Z",
      "lastTransitionTime": "2022-05-19T22:40:49Z",
      "message": "All SSP resources are available",
      "reason": "available",
      "status": "True",
      "type": "Available"
    },
    {
      "lastHeartbeatTime": "2022-05-19T22:40:49Z",
      "lastTransitionTime": "2022-05-19T22:40:49Z",
      "message": "No SSP resources are progressing",
      "reason": "progressing",
      "status": "False",
      "type": "Progressing"
    },
    {
      "lastHeartbeatTime": "2022-05-19T22:40:49Z",
      "lastTransitionTime": "2022-05-19T22:40:49Z",
      "message": "No SSP resources are degraded",
      "reason": "degraded",
      "status": "False",
      "type": "Degraded"
    }
  ],
  "observedGeneration": 1,
  "observedVersion": "v4.8.6",
  "operatorVersion": "v4.8.6",
  "phase": "Deployed",
  "targetVersion": "v4.8.6"
}
cnv-qe-jenkins@cnv-qe-infra-01:~$ kubectl get cdi cdi-kubevirt-hyperconverged -n openshift-cnv -o json | jq ".status"
{
  "conditions": [
    {
      "lastHeartbeatTime": "2022-05-19T22:39:37Z",
      "lastTransitionTime": "2022-05-19T20:38:26Z",
      "message": "Deployment Completed",
      "reason": "DeployCompleted",
      "status": "True",
      "type": "Available"
    },
    {
      "lastHeartbeatTime": "2022-05-19T22:39:37Z",
      "lastTransitionTime": "2022-05-19T22:39:37Z",
      "status": "False",
      "type": "Progressing"
    },
    {
      "lastHeartbeatTime": "2022-05-19T22:40:43Z",
      "lastTransitionTime": "2022-05-19T22:40:43Z",
      "status": "False",
      "type": "Degraded"
    }
  ],
  "observedVersion": "v4.8.6",
  "operatorVersion": "v4.8.6",
  "phase": "Deployed",
  "targetVersion": "v4.8.6"
}
cnv-qe-jenkins@cnv-qe-infra-01:~$ kubectl get VMImportConfig vmimport-kubevirt-hyperconverged -n openshift-cnv -o json | jq ".status"
{
  "conditions": [
    {
      "lastHeartbeatTime": "2022-05-19T22:40:06Z",
      "lastTransitionTime": "2022-05-19T20:37:33Z",
      "message": "Deployment Completed",
      "reason": "DeployCompleted",
      "status": "True",
      "type": "Available"
    },
    {
      "lastHeartbeatTime": "2022-05-19T22:40:06Z",
      "lastTransitionTime": "2022-05-19T22:40:06Z",
      "status": "False",
      "type": "Progressing"
    },
    {
      "lastHeartbeatTime": "2022-05-19T22:40:53Z",
      "lastTransitionTime": "2022-05-19T22:40:53Z",
      "status": "False",
      "type": "Degraded"
    }
  ],
  "observedVersion": "v4.8.6",
  "operatorVersion": "v4.8.6",
  "phase": "Deployed",
  "targetVersion": "v4.8.6"
}
cnv-qe-jenkins@cnv-qe-infra-01:~$

This has been seen against multiple clusters (PSI and BM).

Verified via release checklist upgrade runs between 4.8.5->4.8.6
[cnv-qe-jenkins@t3-pytest-48-khq8z-executor ~]$ kubectl get hco kubevirt-hyperconverged -n openshift-cnv -o json | jq ".status.versions"
I0523 20:44:15.465879  108470 request.go:665] Waited for 1.141807501s due to client-side throttling, not priority and fairness, request: GET:https://api.t3-pytest-48.cnv-qe.rhcloud.com:6443/apis/hco.kubevirt.io/v1beta1?timeout=32s
[
  {
    "name": "operator",
    "version": "v4.8.6"
  }
]
[cnv-qe-jenkins@t3-pytest-48-khq8z-executor ~]$ 
[cnv-qe-jenkins@t3-pytest-48-khq8z-executor ~]$ kubectl get csv -n openshift-cnv
NAME                                      DISPLAY                    VERSION   REPLACES                                  PHASE
kubevirt-hyperconverged-operator.v4.8.6   OpenShift Virtualization   4.8.6     kubevirt-hyperconverged-operator.v4.8.5   Succeeded
[cnv-qe-jenkins@t3-pytest-48-khq8z-executor ~]$

Since the problem described in this bug report should be
resolved in a recent advisory, it has been closed with a
resolution of ERRATA.

For information on the advisory (OpenShift Virtualization 4.8.6 Images), and where to find the updated
files, follow the link below.

If the solution does not work for you, open a new bug report.

https://access.redhat.com/errata/RHEA-2022:4843