How to make mysqldump use /*!40101 SET character_set_client = utf8mf4 */;?
That special type of comment says "leave this as a comment if running a version older than 4.1.1; else execute it".

utf8mb4 came in in 5.5.3, so the 'correct' version would be 

/*!50503 SET character_set_client = utf8mb4*/


If your version of mysqldump and mysql are newer than 5.5.3, no harm is done by leaving it 40101.  If you do try to load it on a mysql older than 5.5.3, the SET will probably complain.

As for why mysqldump does not say 50503 -- I suspect that is a bug.  File it at http://bugs.mysql.com.