That's correct. In the AutomaticUpdater control in your .NET App article we say to use the full .NET Framework 4.
Our soon-to-be-released WPF version of the AutomaticUpdater will be able to run with the Client Profile. However, the reason the Windows Forms version of the AutomaticUpdater requires .NET 4.0 Full is that Microsoft neglected to include essential functionality in the Client Profile .NET 4.0.
Will using the full .NET 4.0 Framework be a problem?
See the table on Towards a Smaller .NET 4 - Details on the Client Profile and Downloading .NET. The download size difference between Full vs. Client Profile versions of .NET 4.0 is about 5MB.
To put that in perspective, 5MB is about 16 seconds of standard definition YouTube video.