Was the Citation pilot's pedantic request appropriate? *Must
controllers prepend a "zero" to single-digit wind speeds?

I've never heard a controller or ATIS or ASOS or AWOS state wind is
"at zero four" when they mean "at four".

However, maybe the Citation pilot had static or otherwise bad
reception -- he wanted to make sure it wasn't "four zero". In other
words, he *might* have heard "wind 150 at 4static burst or heterodyne
squeal". In which case you might ask for clarification without being
pedantic.

I can't remember if that squeal that is caused by stepping on someone
else's transmission is called "heterodyne" or not.