The RetryInterceptor was first included in 4.0.2RC1. You could try downloading the 4.0.1 src and getting the class from CVS for 4.0.2 (it's in the server module) and rebuilding JBoss. Once you've done that the affected jar is jboss.jar; that's the one you'd want to integrate into your real JBoss environment. Looking at the class I don't see a lot of complex dependencies on other JBoss code, so the compilation will most likely work fine.
Looking at this again, trying to backport the RetryInterceptor to 4.0.1 will not be easy. It depends on org.jboss.invocation.ServiceUnavailableException, which was added in 4.0.2RC1 as well. There are also needed changes in JRMPInvokerProxyHA. May be others as well.
I'll upgrade to jboss-4.0.3