SP3 will contain the fixes and updates found in SP1 and SP2 and the hotfixes in between. The download you get off their general Service Packs download site is the upgrade only (besxU_4.0.3.exe). Just run setup.exe and it upgrades your installation (not to be confused with upgrade.exe). If you look at the SQL scripts included, you'll see that it includes things such as 'SchemaTweak40x.sql' where 'x' is the number for each of the service packs (just an example, as I'm sure there is more to it than one SQL script for the cumulative upgrades).
If you want the full version, you can contact TSupport and request it - they should respond with temporary access to the full version (besx_4.0.3.exe). The latter can be installed without the requirement of BES 4.0 being installed already; otherwise, you will be prompted during installation that 4.0 needs to be installed before applying the upgrade.
LAW, I think that one-in-how-many-ever-thousands of installations of BESX 4.0 is nothing to be worried about, to be honest. The odds are on your side (unless you're a Murphy's Law kind of company, in which case...).