Check that active System Image is at least K.15.02.0004 or newer (this is a requirement to grant the usage of J4859C into the J9358A 8 Ports 10 GbE SFP+ v2 zl Module): see here for details (Sheet 5).
Are you sure that your J4859C is really genuine?
Another source of information is this one: there is clearly stated that a "J4858C HP X121 1G SFP LC SX Transceiver connects fine when put in a HP 8-port 10-GbE SFP+ v2 zl Module (J9538A) in a 5406zl switch." instead it runs into an issue when it is moved into a J9993A v3 zl2 Module of an HPE 5400R zl2 chassis, indeed is reported that the same "J4858C HP X121 1G SFP LC SX Transceiver won't Connect when inserted in a HP J9993A 8p 1G/10GbE SFP+ v3 zl2 Module in a 5400R zl2 Switch.".