PEQ can create arbitrarily narrow filters (meaning that it will accept an arbitrarily high Q), but setting Q to 500 (!) won't create a useful filter for you. A -3dB notch filter with a Q of 500 has a bandwidth of (more or less) 2 thousandths of an octave. So at 4KHz a -3dB filter would be about 16Hz wide at best. Your -40Db filter would be wider, but still on that kind of tiny scale.
Presumably you're trying to notch out a slightly wider area than just 4392 to 4408Hz? The human ear can't ordinarily resolve changes in frequency ranges that small (which is probably why it didn't "work"). Studies show that people have a hard time perceiving changes with bandwidths below 1/6 octave, but some folks can go a bit lower. Anything much smaller than an 1/8 octave is unlikely to be very audible in most circumstances. I'd start with Q's around 10 and move up as needed, but make the Q no higher than than 20 (which gives about 1/14 octave with a -3dB filter) and see how that works for you.
Also, if for some reason you need to stack filters, you can stack them in the same PEQ module, just add two or three filters. The two banks are just for convenience and being able to customize the order of signal path, you can have an arbitrary number of filters in each bank.