... or is that an error in the documentation?
The problem is in the documentation. The documentation was correct, but we missed updating this for changes that occured with PSoC 4.
PSoC 3 and 5LP can support priorities from 0 to 7 (0 is the highest), but PSoC 4 only supports 0 to 3. This is because of the Cortex-M0 on the PSoC 4 versus the M3 on the PSoC 5LP. You didn't say that you were using PSoC 4, but I checked the generated code for both 4 and 5LP and they are different and correct.
Thanks for reporting the problem.
Yes, since I slept over that issue it came to my mind that there was something different between PSoC5 and PSoC4. I agree that something has got forgotten within the documentation of the System Reference Guide.