Prior to version 4.0.1 the Publish Date (which defines the order in What's New) was set equal to the date of the event, which meant that future events were always at the top of the list. In 4.0.1, this was changed to set Publish Date to be the date of the last change to the event (excluding enrollments and notification requests). As a one off update when updating to 4.0.1, the date was set equal to the event date, if it was in the past, and equal to the todays date if in the future.
Therefore you should find as you add new items to your site that the events should move down the What's New list, since items should have a later Publish Date.
However the What's New module is dependant on the Search function of DNN, and unfortunately modules are inconsistent in the data they send to the search feed. As can be seen from this, some could send future dates, some send UTC dates, some timezone offset dates with or without DST... You cannot with the What's New module configure which module it lists. However you can turn off the search functionality of the events module from event module settings. Then events will not appear in the What's New or in the site search.
Personally I don't use What's New, and use the reports module instead, since I can then control exactly how the data is handled and how it is displayed. Here is a blog on what I do - http://www.thedivingclub.co.uk/Information/DNNBlog/tabid/368/articleType/ArticleView/articleId/80/Whats-New-for-the-members.aspx. The SQL is relatively complex for two reasons. One because I was being lazy and it's for a low usage site, so inefficient code will not impact the server unduly. Secondly because the same set of queries services an RSS feed module that I've written. So I can update in one place and I know that I'm getting the same data in both places.
Hope this helps
Roger