Yes, it can support upto 4gb (ive had a 4 gig MS pro for about a year now). The 4 in 1 device that came out a while back allows you to use up to 6gb of media, but only 4gb would show. I dont know if anyone's tried out the new 8gb MS Pro Duos that are out.
As far as i know, its all in sony's firmware programming, im sure when Sony starts releasing higher memory sticks (they said they plan to have 32gig sticks within the next year or two) they'll upgrade the limits on the firmware.