In my experience the compatibility on 040 is noticably lower than on, say, 030 - talking about games mostly. But most problems can be solved with the correct settings it just requires a little more effor that's all. 060 is closer in compatibility to 030 - a lot more games work out of the box than on 040.
As for the difficulties when installing the OS - all it takes is to copy 3 extra libraries, not that problematic I would say...
