I did not get this option, but this asked to simply un-install the previous version of the Console. It was something related to the NSH version being upgraded and not supported.
We do have the Same setup, 8.2 on Prod and 8.6 in Test.
I have both 8.2 and 8.6 console on my machine. While installing 8.6 we have options to either upgrade existing version or install a new instance as Jim Wilson mentioned.
I would suggest you to check again.