XFree86-4.0-0.4.i386.rpm does not come with a default 'etc/X11/xserver/SecurityPolicy' or '/usr/X11R6/lib/X11/xserver/SecurityPolicy'. The file 'ftp://ftp.xfree86.org/pub/XFree86/4.0/binaries/Linux-ix86-glibc21/Xetc.tgz /xserver/SecurityPolicy' works for me.
This has been fixed as of XFree86-4.0-0.29, which will be in the next rawhide release.