Hi Rune, that's a great question.
The slightly smaller sensor in the Four Thirds system does mean there's a slightly larger inherent depth of field at a given aperture. It also means the optimum aperture for lens sharpness should be slightly smaller than the typical f8 of most other systems.
That's the theory anyway.
In practice when I do the resolution results I shoot the chart at every aperture and select the sharpest results. And for recent Four Thirds tests, I found the best results were at f8, although f5.6 and f6.3 were pretty close. Like all lenses, it's a case of doing some of your own tests and find the sweetspot if that's something you're into.
As for DOF, you can see in this shot taken with the E-410 and 14-42mm at 42mm and the aperture wide open, that the DOF is still quite large - certainly larger than most other kit lenses zoomed-in with their apertures open.
But you can get nice and fast lenses for the Four Thirds system, and they can produce very small DOFs if required. The 50mm f2.0 for example is a lovely lens.