Well I soldiered on with the A4000 and, on the weekend, had a stable enough machine (sans Update) to create a 'Games' partition and start loading up some WHDLoad goodies.
Some of the games were WHDLoad and some were JST...and ALL failed to load. Either downright hanging on a black screen or, in one case, having the WHDLoad splash screen load (the demo one) and stop writing out the characters like it does.
Feeling this was just getting plain silly I decided to rip the RAM out of the WarpEngine and replace with a full 32MBx4 set of known working EDO RAM sticks.
Rebooted the Amiga and all the games loaded fine. So...looks like the old RAM was bad.
I then thought 'hell, let's try the update again' so I proceeded to reinstall BB-2 and selecting 'yes' to the 'do you want the update'.
Rebooted the Amiga...and the Indivision 'chime' happened so I thought well here goes

Then I heard the chime again...so I started to get a little excited. Maybe the ROM had updated. A few seconds later and boom...the Workbench screen appeared and all BenchTrash errors had gone. Checking the 'About...' screen I am indeed running 3.9 with the 3.9 ROM.
So there you go folks..it all appears to have arisen from some dodgy sticks of RAM on the WarpEngine. And I can confirm positively that OS 3.9 with BB2 and the ROM update will work on a WarpEngine 040. The 'Startup-Sequence' file is original..no changes were made by myself following the 3.9 or BB installs.
Thanks for the input from all the people who helped. I even managed to get my 200GB HDD partitioned properly Thomas!

If anyone wants to know any more about my system in the hope of getting their WarpEngine 040 running with 3.9/BB2 then just let me know and I'll post whatever details you're interested in.
Thanks again folks!