First of all, you can use this tool to determine if port 4040 is forwarded properly:
http://www.yougetsignal.com/tools/open-ports/
My best guess is that you don't have the port forwarded correctly in your router firewall. The tool above will help you validate that theory.
I've heard of cases in the past with Subsonic where manually forwarding the port, while leaving the UPnP box checked on the Subsonic Networking settings will cause a conflict and result in the port not being correctly forwarded.
At any rate, what I recommend doing with port forwarding problems is disabling UPnP in Subsonic and forwarding the port yourself. If you do not know how to forward the port yourself, go to Port Forward.com, and find instructions for your router's model. (Or ask here, I'm sure someone or myself will be able to assist you with port forwarding.)
A sidenote, the way Subsonic's x.subsonic.org URLs work, you shouldn't be using them on You Get Signal to determine if the port is forwarded correctly. Use your external IP for that. (The Subsonic URL resolves to their server first, then gets redirected to your server. You Get Signal's tool won't follow that redirection). You Get Signal should automatically detect your Internet IP correctly, so just change the port to 4040 and run the test.
If you have any further questions, please feel free to ask here.
Cheers,
Kirk