The latest info from technical support team, the plan of adding 3D sweep into Creo 4.0 M020 is cancelled, this functionality will be added into Creo 5.0 next year. What a pity for PTC.
3D sweep is a very tough problem to solve in a way that produces accurate geometry. There's a version of it for Solidworks that produces a really ugly result. It's not bad at first glance, but looking closer and it looks like junk.