I have never seen the collet nut with the square hole available on any accessory display. You may have to go to the Dremel custonmer service site for one. There is no way around this.
I can cionfirm the flex shart will work on the 400. Besides the collet nut you remove the plastic ring that screws on below it and then screw the shaft on instead. With this condition you should have no problems with the flex shaft.
"For almost every problem,there is a DREMEL solution"
"When all else fails, read the instructions."Jim