I downloaded the pdf file from microchip's webpage and read it.

It said:

Two External Clock modes, up to 40 MHz

These 2 modes are:

9. EC External Clock with FOSC/4 Output
10. ECIO External Clock with I/O on RA6

So it is not possible to use the PLL in these modes but the PIC will run at 40 Mhz if it has a 40 Mhz oscillator connected. I run several 4620 on 40 Mhz, both as 10 Mhz +4*PLL and as pure 40 Mhz circuits.

Also can this be found under absolute maximium ratings:

All devices 15 35 mA -40°C
VDD = 4.2V
FOSC = 40 MHZ
(PRI_RUN,
EC oscillator) <--------- look here!!!
16 35 mA +25°C
16 35 mA +85°C
All devices 21 40 mA -40°C
21 40 mA +25°C VDD = 5.0V
21 40 mA +85°C


So there should be no problem at att to run a 18F4620 with EC or ECIO configuration bits from an external 40 MHz oscillator if Vdd > 4.2V and if it is an industrial rated PIC (figure 26-1) the LF and extended rated PIC has a different behaviour.

/me