Microsoft has released NETMF 4.1. More details come very soon but I thought I will let you know that you can now use Visual Studio 2010 and NETMF 4.1 with FEZ.
The FEZ firmware is still 4.0 firmware but what is nice about NETMF 4.1 SDK is that you can use 4.0 or 4.1 devices.
Finally, the 4.1 firmware for FEZ is coming very in few days to the beta pages. So for now, upgrade your visual studio to VS2010 express or professional and install NETMF 4.1 SDK