I do see now that on my upgraded 3.6.9->4.0.3 environment, there is ovirt-hosted-engine-setup-2.0.1.5-1.el7ev.noarch component, right as expected.

Engine is up and running on these components on host:
libvirt-client-1.2.17-13.el7_2.5.x86_64
ovirt-imageio-common-0.3.0-0.el7ev.noarch
ovirt-vmconsole-1.0.4-1.el7ev.noarch
ovirt-hosted-engine-ha-2.0.3-1.el7ev.noarch
qemu-kvm-rhev-2.3.0-31.el7_2.21.x86_64
sanlock-3.2.4-3.el7_2.x86_64
rhevm-appliance-20160731.0-1.el7ev.noarch
ovirt-setup-lib-1.0.2-1.el7ev.noarch
ovirt-hosted-engine-setup-2.0.1.5-1.el7ev.noarch
mom-0.5.5-1.el7ev.noarch
ovirt-host-deploy-1.5.1-1.el7ev.noarch
vdsm-4.18.11-1.el7ev.x86_64
rhev-release-3.6.9-1-001.noarch
ovirt-imageio-daemon-0.3.0-0.el7ev.noarch
ovirt-vmconsole-host-1.0.4-1.el7ev.noarch
rhev-release-4.0.3-1-001.noarch
ovirt-engine-sdk-python-3.6.8.0-1.el7ev.noarch
Linux version 3.10.0-327.36.1.el7.x86_64 (mockbuild.eng.bos.redhat.com) (gcc version 4.8.5 20150623 (Red Hat 4.8.5-4) (GCC) ) #1 SMP Wed Aug 17 03:02:37 EDT 2016
Linux 3.10.0-327.36.1.el7.x86_64 #1 SMP Wed Aug 17 03:02:37 EDT 2016 x86_64 x86_64 x86_64 GNU/Linux
Red Hat Enterprise Linux Server release 7.2 (Maipo)

On engine:
ovirt-engine-dwh-setup-4.0.2-1.el7ev.noarch
ovirt-image-uploader-4.0.0-1.el7ev.noarch
ovirt-imageio-proxy-setup-0.3.0-0.el7ev.noarch
ovirt-engine-webadmin-portal-4.0.3-0.1.el7ev.noarch
ovirt-engine-restapi-4.0.3-0.1.el7ev.noarch
ovirt-host-deploy-1.5.1-1.el7ev.noarch
ovirt-engine-extension-aaa-jdbc-1.1.0-1.el7ev.noarch
ovirt-engine-cli-3.6.8.1-1.el7ev.noarch
ovirt-engine-websocket-proxy-4.0.3-0.1.el7ev.noarch
ovirt-vmconsole-1.0.4-1.el7ev.noarch
ovirt-setup-lib-1.0.2-1.el7ev.noarch
ovirt-engine-sdk-python-3.6.8.0-1.el7ev.noarch
ovirt-log-collector-4.0.0-1.el7ev.noarch
ovirt-imageio-proxy-0.3.0-0.el7ev.noarch
ovirt-engine-tools-4.0.3-0.1.el7ev.noarch
ovirt-engine-setup-base-4.0.3-0.1.el7ev.noarch
ovirt-engine-setup-plugin-ovirt-engine-common-4.0.3-0.1.el7ev.noarch
ovirt-engine-setup-plugin-ovirt-engine-4.0.3-0.1.el7ev.noarch
python-ovirt-engine-sdk4-4.0.0-0.5.a5.el7ev.x86_64
ovirt-iso-uploader-4.0.0-1.el7ev.noarch
ovirt-imageio-common-0.3.0-0.el7ev.noarch
ovirt-engine-dashboard-1.0.3-1.el7ev.x86_64
ovirt-engine-userportal-4.0.3-0.1.el7ev.noarch
ovirt-engine-4.0.3-0.1.el7ev.noarch
ovirt-host-deploy-java-1.5.1-1.el7ev.noarch
ovirt-engine-lib-4.0.3-0.1.el7ev.noarch
ovirt-engine-setup-plugin-websocket-proxy-4.0.3-0.1.el7ev.noarch
ovirt-engine-setup-4.0.3-0.1.el7ev.noarch
ovirt-engine-vmconsole-proxy-helper-4.0.3-0.1.el7ev.noarch
ovirt-engine-tools-backup-4.0.3-0.1.el7ev.noarch
ovirt-vmconsole-proxy-1.0.4-1.el7ev.noarch
ovirt-engine-dbscripts-4.0.3-0.1.el7ev.noarch
ovirt-engine-dwh-4.0.2-1.el7ev.noarch
ovirt-engine-setup-plugin-vmconsole-proxy-helper-4.0.3-0.1.el7ev.noarch
ovirt-engine-extensions-api-impl-4.0.3-0.1.el7ev.noarch
ovirt-engine-backend-4.0.3-0.1.el7ev.noarch
rhevm-spice-client-x86-msi-4.0-3.el7ev.noarch
rhevm-doc-4.0.0-3.el7ev.noarch
rhevm-spice-client-x64-msi-4.0-3.el7ev.noarch
rhev-guest-tools-iso-4.0-5.el7ev.noarch
rhevm-4.0.3-0.1.el7ev.noarch
rhevm-branding-rhev-4.0.0-5.el7ev.noarch
rhevm-guest-agent-common-1.0.12-3.el7ev.noarch
rhevm-dependencies-4.0.0-1.el7ev.noarch
rhevm-setup-plugins-4.0.0.2-1.el7ev.noarch
rhev-release-4.0.3-1-001.noarch
Linux version 3.10.0-327.22.2.el7.x86_64 (mockbuild.eng.bos.redhat.com) (gcc version 4.8.5 20150623 (Red Hat 4.8.5-4) (GCC) ) #1 SMP Thu Jun 9 10:09:10 EDT 2016
Linux 3.10.0-327.22.2.el7.x86_64 #1 SMP Thu Jun 9 10:09:10 EDT 2016 x86_64 x86_64 x86_64 GNU/Linux
Red Hat Enterprise Linux Server release 7.2 (Maipo)

Since the problem described in this bug report should be
resolved in a recent advisory, it has been closed with a
resolution of ERRATA.

For information on the advisory, and where to find the updated
files, follow the link below.

If the solution does not work for you, open a new bug report.

https://rhn.redhat.com/errata/RHBA-2016-1801.html