Yes, you can get a sound file correct for that particular loco in a Select Micro as seen here searching under 8-40CM...
http://projects.esu.eu/projectoverviews/search?cat=2&q=8-40CMAt least some ESU dealers will load a requested sound file when you order the decoder but I've seen them listed as "generic" elsewhere, in which case you will need a LokProgrammer to add the file.
At least one difference between a V4 Micro and a Select Micro is the V4 has more sound editing capabilities where the Select Micro is a bit more, well, select or set. That said, the Select Micro still allows you to change and adjust many things, such as; horn and bell type and volume, prime mover sound speed playback, etc.
You also may want to evaulate if you want a Select Micro or one of the new "slide-in" sound boards, which are narrower but longer.
Also, there's some potential for confusion between a "V4 Micro" sound decoder vs. a "version 4.0" non-sound micro decoder. I sometimes get a little hung up on this myself.