So sorry but I forgot to post this update a few weeks ago but unfortunetly as I have tried to say work is really crazy right now.\ Anyways NSClient++ 0.4.1 and 0.4.2 was affected by Heartbleed. 0.4.2 was patched about a week after the incident and 0.4.1 took a bit longer as I did not have a build environment setup for that. But I forgot to post information about this. When it comes to earlier versions like 0.3.x they are not using the openssl versions affected by heartbleed.
I am planning to start using DLLs to allow third party patching of dependency libraries in the future so this will hopefully go into 0.4.3. This means that security issues in thirdparty modules can be patched manually.
Anyways, everyone should upgrade to 0.4.1.105 and 0.4.2.93.
If you do not want to make an upgrade or a re-install you can always unzip the zip and drop-in the various XXXServer.dll (and technically client) files into the modules folder. Usually it is only NRPEServer which is used but all servers support SSL and use the same openssl version so if you were to enable SSL on check_nt that would also be susceptible. So I would recomend replacing all (NSClientServer.dll, NRPEServer.dll CheckMKServer.dll)
So once again: Please upgrade to 0.4.1.105 and 0.4.2.93 or stay on 0.3.9 if you are on the older version.