I get the same (wrong) result as you.
Either there's a bug in the implementation, or there's a bug in the documentation. Either way, unless someone here comes up with a better idea, I'd report it to the pdl mailing list.

Another option would be to submit a bug report to the PDL bug tracker on Sourceforge ... if your browser is up to handling something as shitful as Sourceforge and you can find the PDL bug tracker. (Sorry, I don't even have a link.)

Math::GSL seems to get it right:

C:\>perl -MMath::GSL::SF -e "print Math::GSL::SF::gsl_sf_gamma(0.4)"
2.21815954375769
C:\>
[download]

I guess that means the error is in the PDL implementation.

UPDATE: Khen1950fx's approach seems to work ok. But where is this documented ?

Cheers,
Rob