The 'shortcut links' functionality has changed in 4.0 but the confluence administration page to control it (and explain it's usage) has not. Yes, you can still use the [term@site] wikimarkup but how you enter it into a page has changed and the screen within the admin section should reflect that.

Previously, you could type '[term@site]' directly into the page and the linking would occur (assuming you made a shortcut link for 'site' in confluence admin). You can still use this wikimarkup to create a link for a page but the steps have change and are as follows.

While editing a page within confluence...
1. type '['
2. select 'insert web link' from the popup
3. select 'advanced' in the 'insert link' window which has just appeared
4. enter [term@site] into the 'link' field (assuming 'site' has been defined in the shortcut links section of confluence administration, if not it errors out)
5. click 'insert'