So, I had to setup a configuration built of 3 boxes in the subject. First thing I did, was to upgrade everything to the latest versions of firmware - 4.0 MR2 patch 1. All fine. I got to connect FG to FA, FG to FM, but there were problems in connecting FA to FM, so I can administer everything through one single interface.
So, it didn't work. No way..FA and FM didn't connect. Anyway, after a support ticket to Fortinet, the correct versions that will connect are:
Fortigate v4.0 MR2 patch 1 - build0279
FortiManager v4.0 MR2 patch 1 - build0348
FortiAnalyzer v4.0 MR2 (without patch 1) - build 0198