The transmission will hold shift points to a higher RPM when the
engine is cold in an effort to warm it up faster (reducing emissions).
Is the car warming up correctly? The temp gage should be a bit below
3'O'Clock after about 5 minutes. I ask because thermostat failure is
a common problem and sometimes people don't notice the car is not
warming up fast enough.

Also, 3500 to 4500 is about right if the transmission is in sport
mode and the throttle is about half way down. although I would not
expect it to hold 4000 RPM on the freeway once you are a steady speed
(not accelerating).

A transmission flush is a good idea. After I had it done our car
shifted very smoothly -- quite noticeable. I'm not sure about synthetic
(I did not use it). I'd skip add on filters and such since Volvo
powertrains are pretty well engineered (oil coolers, transmission
coolers as needed right from the factory).