In the situation described, I would maintain 4000ft on reaching unless terrain or controlled airspace dictated otherwise.
The controller is aware of the traffic and unknown to us, may have an aircraft that he is about to clear to 5000ft which would be a conflict if we did not do what he said until told otherwise.
As a practical example -
We depart on the Dover 8M and receive the reply you describe. Having restricted us to 4000ft, the controller takes an inbound onto a right downwind and descends it to 5000ft. If having passed D29 det, we climb, we could be in conflict.
Unusual traffic situation for Gatwick I know. But there are no obstacle or airspace problems ubntil much further down the road so I would sit tight.
Personally, I would consider the phraseology to be poor in this case and "Stop Climb Altitude 4000ft" or "Maintain Altitude 4000ft until advised" could be better.
Finally - if in doubt - ask (if it is too busy for such an important claritication then IMHO it is dangerous).
regards,
DFC