[I originally posted this on the Microchip forum without the pics]
One of these arrived this morning. Very early days, but here are my initial findings.
The biggest problem so far is that I am having some trouble with it enumerating, I've tried different USB ports and hubs but it seems random, on the same port sometimes it enumerates, sometimes it doesn't. The error is
The last USB device you connected to this computer malfunctioned and Windows does not recognise it.
Recommendation
Try reconnecting the device. If Windows still does not recognise it, your device may not be working properly.
OS is Windows 10 x64 on a dual Xeon E5-2696v2 24C48T monster with 64GB RAM, so plenty of horsepower.
When it works, there is a dramatic improvement when programming over the PICkit 3, on a blinky on a PIC32MX170F256B, the PICkit 3 takes 22s whereas the PICkit 4 takes 7s. ICD 3 took 11s, so the PICkit 4 seems faster in this example than an ICD 3.
When programming (as opposed to debugging), unlike other programmers, the PICkit 4 seems to assert reset or otherwise stops the processor from running after programming. You need to remove the programmer from the DUT to see it run.
Unlike the PICkit 3, you can set breakpoints while the processor is running, which I use a lot on the ICD 3 and RealICE.
MPLAB X frequently seems to deny the PICkit 4 is connected after it's already enumerated correctly and been used. I'm not yet sure of the sequence of events that makes this happen, but restarting MPLAB X sometimes fixes it. Sometimes you have to change USB ports for it to show up in MPLAB X.
A welcome new feature of the PICkit 4 seems to be that it stores debugger firmware for several devices so it doesn't need to update every time you change devices. I don't know how many devices it will remember. I was swapping between a PIC24F08KA101 and PIC32MX170F256B.
In short it's promising, but as is so often the case nowadays with Microchip, the quality of the software and associated in house testing leaves an awful lot to be desired, leaving the rest of us to do that for them.