I havent had any cold boot issues, but do have this frustrating wall at 4.2ghz, same outcome with both 920 and 940 chips. I've tried my own settings and also tried settings that others have posted here. with the same result.
The 940 I have behaves identically to the 920 at least on this board right down to the multis it will run on, the extras for the 940 are like tantalising teasers that are there but cant be used?

As far as 940 and 965 being phased out, that in itself speaks volumes. though having said that I dont think they are bad chips per se, just not on this board atm.
Personally, when the bios comes that is intended to fix this tdp issue arrives If it works great if not then I will have to think about getting a different board.

I totally understand where dejaneh is coming from, for a board with such a price tag these issues should be addressed much faster than they have been regardless of the 920/940/965 debate.

I have socket 478 boards here that are more consistant, less complex yes but they will still take a good hammering and still boot everytime.