Ofcource 4.0 is brand sparkling new, and the first version to support ntpl, so it not hugely suprising there are some improvements to be made.
For 'playing around' running vmware 4.0 & rh 9 it's ok; But for production envirioments i wouldn't advice it.
I don't know about VMware GSX 2.5, but I can tell that Red Hat Linux 9 has been exhibiting what I can only describe as "flaky" behavior on VMware Workstation 4.0 and 3.2. (For example, sometimes booting with "linux single" would properly enter single-user mode, and sometimes it wouldn't.)
-- Chris