SQL Server 2019: InitPersistentVersionStore failed after installing CU2
Eventually, I got an official answer from Microsoft Support which I am glad to share here:


  Hello Martin,   Hope you are fine.   Thanks for call yesterday. As
  validated from Product Group:
  
  This is only a info message and not a bug. All system databases that
  come from SQL17 to SQL19 will not have persisted version store
  initialized because of the way we did upgrade step in SQL17. But this
  should not affect customer’s databases.”   But we probably will not
  fix the message on next releases as it’s harmful – that’s why was not
  fixed until now.   The question we have discussed, as this is
  something that harmful but should not be there, so you will not be
  charged for this case.   I will close the case and mark it as product
  issue.


It's a bit contradictory on whether the message will be fixed or not....last statement on the phone was that in a problematic case it typically arises as a followup error due to database recovery problems. In my case that is not true and it's totally unproblematic...I even don't use ADR.

A big recommendation for everyone upgrading from SQL 2017:
Do not perform an in-place-upgrade but rather do a fresh install of SQL 2019 to avoid seeing this error message.