I am not sure what the problem could be. I have been using local interfaces in 4.0.2 perfectly fine. Did you bind your local EJB with <local-jndi-name> in jboss.xml file while deploying ?
I have the same problem presented by Nicolas, the only diference is that, the error happends when the EntityBean has been intercepted by aspects. Normally it doesn´t occur.
Somebody could help us