I followed the upgrade walkthrough completely, and experienced the exact same issue. All of the permalinks to my events stopped working when I updated to 4.0.2; leading to a 404 page, instead.
I believe I found the cause of the issue and I found a temporary work-around.
In my case, my “events” page was 3 levels deep in my site structure. I have a News Room page, which has an “Events” page as a child, then has my “Event Details” page (which is the page I have set as my events page in the Events Manager plugin settings) as a child of that.
When I moved the “Event Details” page to the top of the site structure (so it doesn’t have any parent pages), the permalinks started working properly.
EDIT – I just updated to 4.0.3 and the issue still exists. I also tried testing with my “Event Details” page as a 2nd-level page; and the 404 errors persisted. The only way the permalinks seem to work is if the “Events” page is a top-level page on the site.