Since you've mention the pilot light goes out at 400 degree F, then we are talking a gas Deep Fryer. The deepfryer usually use at 350 degree F for chips or else. Because the oil will start breaking down its quantity of frying very quickly over that temperature. Most people set at 350 degree F. Now we comes back to your problem, First you should have a deep fryer thermometer they espcially made for deep fryer, (You only mention 400 or better ) that make me think you're only guessing. Knowing the temperature is very important, most Hi limit is set at 420 degree F.
To me it seen the Hi Ltd control is working and that is why it cutting out the pilot when it reach its limit but we don't know what temperature that when the hi limit cutting out at.
When you have a thermometer, put it in the cold oil and turn the temperature to 100 degree F to see what the temperature control cutting out at. slowly increase your setting until it cutting out at 350 degree F . If you set at 250 degree F and the thermometer already reaching 350 degreen F then don't go any further , your temperature control is defective and need to be change a new one.
This is only the first step, you still have to check out the Hi ltd control to see how good its condition is,so far your information say it cutting out at 400 or better. But you've to be sure, because it is a safety control. Hope that will help you , God Bless.

You need to replace the hi limit, about $179. Easy way to check if it is the hi limit, remove one of the two wires leading to the hi limit and CAREFULLY touch it against the other and cycle the unit on. Please dont be a cheapskate & dumba$$ & leave it that way. YOU WILL hurt people or possibly burn your business to the ground. It is a safety switch, when the oil temp raches a predetermined max temp it will open the circuit & not allow it to heat.

Hi,
We had the same problem in our fryer. I thought we had to check or change the high limit thermostat. But the solution was to reduce the heat to 375 degrees.
Doing so will save oil too since it does not burn out quickly and the high level thermostat does not kick out the pilot light.
We got our problem solved by just reducing the heat.
Good luck.