Update Manager should work the same in 4.0 as it did in 3.5. You install the application on the vCenter server, and then install the plug-in on your client workstation to manage the updates. You shouldn't need to install the actual Update Manager application (with the SQL Express backend) on anything but the Update Manager server, which is usually the vCenter server.
Are you getting an error when trying to download/enable the new Update Manager plug-in on the vSphere client? Keep in mind that there are two different clients for managing ESX 3.x and ESX 4.x, along with different Update Manager plug-ins for each one.
Matt | http://www.thelowercasew.com | @mattliebowitz