They do come with velour earpads (the SRH-940). There is a sonic difference between the SRH-940 and the SRH-840. I even put SRH-840 pads on the SRH-940 (I have an extra set) to see if that would constitute the difference, and the answer to that was no. The SRH-940 unit I have is pre-production, so I'm not sure if the final production is different, either physically or in terms of sonics. The pre-production SRH-940 I have here has a more revealing, more extended, more present treble than the SRH-840--there are other differences, but that's the first thing most will hear when comparing the two.
I'll say more about the SRH-940 soon, including photos of the pre-production unit I've got (if that's okay to do, which I'll clear first).
How do the SRH940 compare to the SRH840 in size? I look foward to your detailed impressions(if you're allowed to) with great interest!