Omega 4 includes a few changes. From the project page (emphasis mine):
The Omega theme provides layouts as a method of managing page
templates along with layout specific stylesheets and regions. This
allows you to write highly customized layouts that can be contextually
switched. You can disable this feature to use the plain page.tpl.php
or even use Omega 4.x together with Panels and Panels Everywhere to
gain even more control over your pages if required.
If you want to use the new layout system, clone sites/all/themes/omega/layouts/simple into your theme, rename the files, edit the layout include, and clear caches.
The goto admin/appearance/settings/mytheme, and click on the Layouts tab. If you did everything correctly, you can select the layout you just created, and then save your configuration.
If you don't want to use the layout system, and just want to use page.tpl.php, then untick Enable Layouts extension, and save your configuration.