I accepted Bob's offer to receive 4.0 instead of 4.0a and have been helping test the 4.0a release. I have transfered my UFT data into TMG probably 25-30 times so far into various beta versions and have not had any problems so far with my UFT data.
I think the defaults that are being provided for the transfer are probably the best they can be. Having said that you are free to change the default locations where you place the UFT data into TMG any way you wish.
Caution: If you change the defaults, they will stay changed unless you change them back or completely remove TMG from your computer and reinstall from the CD.