"Fine!" you say. I will Remote Debug on a Windows XP machine. But that is also not supported.
This means that testing for .net 4.0 compatibility cannot happen at Debug time. It must be later down the chain. And the further down the chain it goes the more those bugs cost to fix.
To be fair, even in the time of MFC, bugs show up in Win98 don't necessarily show up in Win2k. If you really concern about the impact of difference in platform / runtime that much, nothing stops you to run a WinXP VM (or physical machine) with all the development tools loaded for testing.
Remember, all development tools on MSDN are licensed on per-user basis. So as long as all users touching that test VM are licensed user, there will be no licensing issue.
Just install VS2012 with .NET v4.5 on your development machine for the enhanced IDE features, and install VS2010 on that testing machine for debug purpose.