There's a new KB article out (KB 936499):

Negative acknowledgement messages are not sent to the queue that is specified in the AdministrationQueue property of a message in Message Queuing 4.0

Currently the content of the KB needs a bit of work - new functionalities in MSMQ 4.0 are only exposed via WCF but the article's text does seem to imply that System.Messaging.Message.DeadLetterQueueName exists as something you would directly manipulate in .NET Framework 3.0.

I must set myself a personal task of learning WCF ...