Hmmm...well, there definitely is no rule that covers this. All I can give you is my opinion.
It seems wrong to put "The End" on a volume when the student does not have all of the volumes...even if the material in that 4th supplement is the end of the print book. The supplements are used as reference materials - which is why they are often transcribed early on.
I would agree with you that "End of Supplement 4" makes the most sense at this point in your work. Then I would put "The End" at the end of Volume 40. I would assume that your title page says "In 40 volumes and 4 supplements" which should be explanation enough for the reader to know what is going on.
I will add this to the list of things that need clarifying when an errata is created for Braille Formats. Thanks for the question!