It appears the manufacturer updated the silicone caps featured. I bought another set and they did.
The workaround is cutting both as demonstrated, and stacking both as I did in my first video (link below) and using a 43mm step-up filter ring. The 43mm step-up ring work for the new silicone caps. If you are unsure of which one you get, just buy the kit, and both the 43mm and the 39mm step-up rings and return the one that not fit.

Link to first video:    • DJI Osmo Action 3  - Add Any Filter!!  

43mm step-up ring: https://amzn.to/3U3jN2C

Add any filter to your DJI Osmo Action 4 or Osmo Action 3 for under $20.

Check out my first video on this if you received the two silicone rings with the Action 3.
   • DJI Osmo Action 3  - Add Any Filter!!  

Silicone Caps/Rings + other goodies (secret sauce) -
https://amzn.to/49TKpcO

39-43mm step up ring (2 pack!) -
https://amzn.to/49SvoYC

43mm Variable ND Filter

(2 options, both work great) -
Neewer -
https://amzn.to/3mKfCvA
K&F Concept -
https://amzn.to/3uXn62T

One thing I did not mention, was that you could go one step smaller on your filter by using a 39-40.5mm step up ring for those of you who have filters for your Sony kits lens that has a 40.5 filter thread.

I already have lots of 43mm filters, so that is why I used that.

39mm-40.5mm Step up ring -
https://amzn.to/3wzhvQB

40.5 Variable ND Filter -
https://amzn.to/3TjjwJC

The links above are Amazon.com affiliate links.
As an affiliate, I earn from qualifying purchases.

Thanks for watching!