In a word, it appears not to work. 3.5x does work (we've been using it since it came out).

The VaultIDE.dll was rewritten for 4.1, in order to work with VS2008 (they also have VSIP integration, but VaultIDE.dll gives the old style integration). I believe they implemented MSSCI 1.3, but SourceGear support hasn't gotten back to me yet on my request that they ask the developer if s/he knows of any changes that would have broken this functionality.