Really? I could've sworn the D40x had an AF motor. I stand corrected.
Slightly off topic but that's incredibly stupid of Nikon seeing how every other SLR in the D40x's price bracket has full AF compatibility and some even feature body-based IS.
If you like autofocus, go for the 400D.
Not as stupid as you seem to think. People buying these low-end SLRs don't generally have old SLR lenses around, and Nikon's new lenses are all AF-S - so an in-body motor is rather superfluous. Additionally, Nikon has now put VR in even its low-end kit lens (the 18-55mm). Both Canon and Nikon have gone with in-lens stabilization because it just plain works better than in-body stabilization.
For better or for worse, when most consumers decide to get their first digital SLR their search starts and stops with Canon and Nikon. The market share of all the other dSLR makers combined doesn't add up to either Nikon's or Canon's share. Given that Nikon's rapidly growing dSLR market share has now equalled (or, some say, even exceeded) Canon's, it's hard to argue that they're being stupid; basically it's pretty obvious they understand the target demographic for their low-end camera.