Hi Henrik,
I just upgraded to 4.9.40 and still getting the same error. Here is the message from log file.
6/16/2009 3:05:05 PM Err Error connecting: SecureBlackbox license key is not set. Please pass your (or evaluation) license key to SBUtils.Unit.SetLicenseKey() function in initialization section of your application.
If this message appears in design-time, place ElSBLicenseManager component on the form and put the key to LicenseKey property.
Thanks, Harsha