Zone mode-Close Up on 40D

I have a question of my 40D Canon.
When using the Zone mode-Close Up on 40D with my 60mm macro lens the camera nearly always uses the F/4 opening, which it does not gives me the dof I wanted.
Is there a way to change this auto set up?
By the way I know how to use and change the required fields in AV, and so on.

I would advise turning the mode dial to AV or Manual and dial in your desired smaller aperture. I can see no advantage to using "Close up mode" if you know how to use the required fields.
...Terry