Welcome to the forums.
Technically the upgrade from 3.x to 4.x should work like you have detailed, it is by design. I cant remember anymore the exact reasons why its done this way, but it is.
I believe that the prior versions that the download page refer to are v4 versions not 3.x versions. v4 to newer v4 updates/upgrades should work without these "incidents".
Also v4 has a automatic update Navigation: Main Window > Dialogs >
Preferences >
General > and depending on your settings it will notify you, and if you decide to upgrade it will download and install new version seamlessly.
Your sites and settings from 3.x should have been automatically detected and imported to 4.x if not look at this
http://www.flashfxp.com/forum/flashf...-v3-x-4-a.html
If your new installation is working properly and everything is imported and you want to remove v3 make a backup of the settings via
Options menu > Backup / Restore configurations > Backup, then if your sure the 3.6 uninstaller is not present you can remove its folders and registry entries.