I noticed that when performing a rolling upgrade of search head cluster, it does not automatically transfer captaincy to the first upgraded member. Based from https://docs.splunk.com/Documentation/Splunk/9.0.2/DistSearch/SHCrollingupgrade - The first upgraded member is elected captain when that member restarts after upgrade. This captaincy transfer occurs only once during a rolling upgrade.
I have chosen a non-captain search head as the first member to upgrade.