I have only played the HD version of the first game on PS3.
Another thing that is much better about Sly 1 is the way the mission system works.
Sly 1 : You have some kind of small overworld, where you can choose which mission you want to try. You just walk around and got though the door to start the mission. When the mission is finished you return to the same overworld again, and then you just continue and the game just flows so good...
Sly 4: You have a Hub. In this hub you can choose lot´s of stuff. It´s like a beautifull menu with nice graphics. From here you choose a person and embark on a mission. Then the overworld loads. Once you are on the overworld you have to follow an arrow to come to a point where the mission starts, or you can just mess around with stuff and collect bottles etc. Once you start a mission a cutscene loads, then back to overworld, then you go on with your mission. This normally requires you to enter new locations, which again results in loading and waiting. It just goes on like that untill you reach the end of the mission and it says "mission finished". Then it loads you back to the hub, and you once again need to chose a character etc..
It doesn´t feel as fluid. Load screens all the time, and the hub is a strange annoying midpoint between you and the actual game. It gets real annoying fast and it interrupts the gameflow alot.
Yeah, it sounds like Sly 4 definitely shouldn't be my entry to the series.