It came with 1.4, because the first thing I did after installing the patch was to redirect the shortcut back to SH4.exe

. An easy way to check this is to look at one of those "Changed files between 1.3 & 1.4" lists(such as
this). I bet gu.exe is mentioned there as a new file.
edit: Ok the Filefront link is dead, but anyway gu.exe is mentioned on the first page of that thread