In the ModelAlgorithm.DSW, the active configuration was set to TKBOOL.DLL, but it should be TKFEAT.DLL. If you use the default setting, it will only make 4 (instead of 8) DLLs. I'm sure I'll find more problems as I start remaking other modules.
Just as I expected due to my experience with recompiling OCC 3.1 - for some reason, I get the sense that OCC team never really tested their own releases for the Windows platform completely at least once. Why??? I know it's open source and it's free, but... very frustrating.
Also, beware of OCC v4 installation. Save copies of autoexec.bat and config.sys, because the installation modifies them - and may be incorrectly. For example, it modified the PATH in my autoexec.bat, and totally screwed it up. It took me a while before I was able to restore/remember its previous settings.