Mobile Style Install
If you're doing a new install, or are upgrading an existing install that didn't have a mobile style, a "Default Mobile Style" will be created in the mobile style list, and it will be automatically set as both 'Default Style for Old Mobile Browsers' and 'Default Style for Modern Mobile Browsers' (in Admin CP -> Settings -> Options -> Style & Language Settings).
Mobile Style Upgrade
If you're upgrading an existing install, that had a mobile style, from 4.1.10 (or lower) to 4.1.11 (or higher), a "Default Mobile Style" will be created in the mobile style list, and any style that was set as either Default Style for Old Mobile Browsers or Default Style for Modern Mobile Browsers (in Admin CP -> Settings -> Options -> Style & Language Settings) will be moved to the mobile style list, effectively becoming a mobile style.
Note: that if you were previously using the normal Mobile Style provided by vBulletin, you need to revert all its templates after it is moved to the mobile style list, or they will all show as customized and never be updated automatically during upgrades.
Rather than the above, you may also just delete the Mobile Style you had since before the upgrade, and use instead the "Default Mobile Style" added by the upgrade (also setting it as 'Default Style for Old Mobile Browsers' and 'Default Style for Modern Mobile Browsers'), but it is not recommended to do so as it may cause some oddities to your mobile users until they clear their cookies.
Any upgrade from 4.1.11 to an higher version will not require any intervention on your part for the mobile style upgrade.