jrossiter is kind of correct. We issue SHOW DATABASES to get a list of databases that needs to be used in autocomplete. Prior to v4.1, MySQL returns all the databases irrespective of whether you have access rights on the database or not.
Now if a user has selected some particular database in the connection window, we should use only those databases in rebuilding of the tag files.
I have forwarded this issue to my development team and it will be implemented in BETA 5. I will update this thread once we release BETA 5.