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https://access.redhat.com/documentation/en/red-hat-virtualization/4.0/paged/upgrade-guide/chapter-2-updates-between-minor-releases We already have a bug open for changing package names (rhevm-setup now needs to be ovirt-engine-setup), but as noted in the comment on that page, you also need to update ovirt-engine-dwh-setup before running engine-setup. Also, the Important box at the end is no longer relevant, as DWH must now be installed along with the Manager.
In my test updating to the latest (internal) RHV-M, I wasn't prompted to update ovirt-engine-dwh-setup (though I do recall it doing so previously, so I suppose this has been fixed). The package names have been taken care of in BZ#1348007, and I removed the outdated information about DWH in that bug, too, so I'm moving this bug to release_pending.
Changes now published at https://access.redhat.com/documentation/en/red-hat-virtualization/4.0/single/upgrade-guide/#Upgrading_between_Minor_Releases