Updating to 4.0 will not effect the modchips. You should have HBC with your Cios modifications BEFORE you do your update or you will not be able to install HBC. After the install of the upgrade... install cios36 rev9.
As far as the Warning.....it is on every upgrade. This question has been asked and answered thousands of times.
Your question on the chip abilities..... a chip will make the wii believe it is running an original disk when it is actually running a 1:1 copy (aka Back-up). If configured it will force region free operation and also block updates. It does not run emulations.