This should not come to a surprise to anyone with experience on App-V. The App-V and the .Net teams at Microsoft have differnet release schedules and are based on opposite sides of the US. So when .Net comes out with a new release, it usually does not play well with either the sequencer or, when we are slightly more lucky, clients with a different OS than the sequencer.
.Net 4.0 has been released so naturally I gave it a try. This is one that looks like it doesn't sequence. If you try it with the default settings and dig into the log file when the installer fails, it looks like after installing the components it trys a windows update to update them. [As an asside: what the ____ is a "redistributable" doing using windows update without asking the user?] When WU fails because you didn't turn in on in the sequencer, the installer fails.
Telling the sequencer to allow windows update does not seem to solve the problem. So one guesses we will have to wait for the next App-V service pack or whatever.
I you landed on this message due to a search, you probably want to just do .NET as a native install or as part of your standard image anyway.
As a side note (because I'm surprised at how many people don't understand this), each .NET installer (2 and above) includes the .NET versions of all previous .NET (except 1). So please stop installing 2, then 3, then 3.5, etc. there is a reason that the redistributable weighs in at over 50MB.