If you have BIOS 42 or later installed, the updated Trusted Execution Engine Firmware, version 18.104.22.1682, which addresses INTEL-SA-00086, will be installed.
I see from your capture that this is the version of the Trusted Execution Engine Firmware that is on your system. Intel Customer Support will have to explain why the detection tool is still saying that the engine is vulnerable. I sure hope it is the tool and not the firmware...
Any update about the "Intel Capability Licensing Service Client is obsolete" message on the NUC6CAYH?
Is there anything I need to install or is this a message that is not applicable to this model?
In this case, I will highly recommend you to perform a https://downloadmirror.intel.com/26802/eng/Chipset_Win10_10.1.1.35.zip Chipset updated. If this does not solve your issue please open a new thread regarding this issue explaining your problem. Make sure you include your system configuration and a clear explanation about the issue so we can give you a solution as soon as possible.
Installed Chipset INF driver version already is v10.1.1.35
I think the SA-00086 detection tool falsely reports the message about "Intel Capability Licensing Service Client is obsolete" as there is no MEI driver for the Intel NUC6CAYH so there is no way i can install a updated Capability Licensing Service Client
The "Intel Capability Licensing Service" simply doesn't exist on the NUC6CAYH if i open services.msc and list the services