Hey there. Time triggers are currently not supported for component states. Only for artboard transitions and lottie/video files.
However, I learned a nice trick from Drew Solorio on the Adobe Xd discord server. Basically you can use an empty 1 frame long lottie file in a component, and use its time trigger to switch between component states. You add a time trigger to the lottie file and for the delay put in after how much time you want to switch. Then add a second trigger "End of playback", which can auto-animate or transition to a different state, or even artboard.
I've created a sample file in which I've made an endless loop between 3 states using that workaround.