I just noticed that 4.0.5 is not showing state boundaries. They do show in Mapsource so it's not a map problem. Am I wrong but I thought they used to show in prior versions?? Or is there a setting that I'm missing??
Make sure you have lines and political boundaries turned on in the display settings. Go to the options (Ctrl-O), then Activity Profile, hit the 'Select...' button in the 'Map Display Features' group and make sure lines are turned on.