If the Authentication Services are upgraded from version 4.1.6 to version 4.1.7 or some other minor release then the windows components do not need to be ugraded. They can be on different versions.
It is recommended to upgraded the Windows components if the ugprade is over a major version. For example If the agent is being upgraded from version 4.1.6 to version 5.0 then the windows components should be upgraded as well as a general rule.
There can be other scenarios where the Windows components might need to be upgraded. It is recommended to check the changelog for each version.