Unless you've done something wierd with your GP2X, the firware update will include all of the new applications (photo viewer, video player, ebook reader, music player, etc.). The .gpu copies the new applications, which are compressed in the .tar.gz file, to the GP2X. The kernel.img file updates only the linux kernel when you boot up the GP2X.
What does the info screen report the version number as? Also, what does the green bootup screen have for version number? They should match. If the green screen doesn't say 1.4.0, you should try updating the kernel again, and if the info screen doesn't say 1.4.0, you need to run the .gpu again.