Gerry, in your example, the tolerance shouldn't have rounded at all if your tolerance was an even +/-.003. The rounding rule only comes into play with that last and only digit being removed is 5. I cannot think of any immediate reason why you'd see .003 and then .004, since if your tolerance was .0035, you'd already see .004 when set to three places. I would ask that you immediately contact your VAR to report this as a potential issue.
Turns out it's even worse than I originally thought. In my example, if the dimension is .8125±.0030 and I select Document Properties/Units/Decimal Rounding/Round half to even, it becomes .8126±.0030!
It appears all this feature is doing is rounding the last digit of any dimension or tolerance (in drawings and feature sketches) to an even number, whether any digits have been dropped or not.
I did report it to my VAR; hope it gets fixed because I can see this causing a lot of trouble.