Adobe XD Version 184.108.40.206, CC Sync Version 220.127.116.11
Tested on Windows 10 Home 10.0.19041
When selecting a component state, the hover indication doesn't align with the mouse. Instead, a state below the cursor gets selected.
This behaviour usually stops after scrolling the component state list to see the currently active state. The issue seems to be a missing scroll animation that should trigger when the currently active state isn't visible in the panel (aka, the component list is longer than 5 states).
Open the file, select the art board, locate the "Background" component and click on it, scroll all the way up in the component state panel: so that the selected state isn't visible in the list, deselect the art board by (double-)clicking outside the art board, reselect it and click on the "Background" component again. You should now see the misalignment in the states panel. Sometimes it happens after the second iteration (deselect the artboard and select the component again).