You can (or: have to) create template sensors for each device:
platform: template
sensors:
bat_livingroom:
value_template: '{% if states.zwave.danfoss_z_thermostat_014g0013_heating_1_4 %}
{{ states.zwave.danfoss_z_thermostat_014g0013_heating_1_4.attributes.battery_level }}
{% else %}
n/a
{% endif %}'
friendly_name: 'Thermostat Living Room'
unit_of_measurement: '%'
entity_id: zwave.danfoss_z_thermostat_014g0013_heating_1_4
and then create a group/card that includes all the battery template sensors you made.
So it was before 0.40 and apparently is now again.
Sebastian