The proper upgrade path is 9.2.1
-> 9.2.2a (CS + RA)
-> 9.3 (with RETAIN_RA)
-> 9.4.1.
If you're on 9.2.1, you must upgrade to 9.2.2.a, both the combo server and report advisor, then you can upgrade to 9.3 and choose RETAIN_RA.
Once that is done, you can upgrade to 9.4.1