I had the same thing happen to me. Because of the bug that shipped with the expansion, I was level 35 by the time I got done my first lieutenant. And I was only able to do that lieutenant because there was a phone next to the safe house leader and holding X activated both. So I hit level 40 after 3 lieutenants and 3 zones liberated.
By the time I finished Keener, I had gone up at least 4-5 levels on my screen (the effect showing it had happened), but I am now only at SHD level 1.
Let me reiterate: this issue was caused by the bug Massive let ship with the expansion. This was not me running around not doing the intended story because I felt like it. I literally couldn't do the story due to a game breaking bug. Massive should have a way to note who hit 40 before finishing the Manhunt story line and should have given us the appropriate SHD levels upon becoming eligible for them.
Shipping the expansion with a game breaking bug is unacceptable. Then (unintentionally or not) punishing players who kept playing, despite the bug, by hindering their end game advancement is just pouring lemon juice and salt on the wound. It may only be a few levels, but that's still time the players put in for literally no reward or advancement. /u/ChrisGansler /u/UbiJohan