解:
(1)把$m = 4$代入方程$\frac{2}{x - 1}-\frac{mx}{(x - 1)(x + 2)}=\frac{1}{x + 2},$得$\frac{2}{x - 1}-\frac{4x}{(x - 1)(x + 2)}=\frac{1}{x + 2},$
方程两边都乘$(x - 1)(x + 2),$得$2(x + 2)-4x = x - 1,$
$2x + 4 - 4x = x - 1,$
移项得$4x + x - 2x = 4 + 1,$
$3x = 5,$
解得$x = \frac{5}{3}。$
检验:当$x = \frac{5}{3}$时,$(x - 1)(x + 2)=(\frac{5}{3}-1)\times(\frac{5}{3}+2)=\frac{2}{3}\times\frac{11}{3}=\frac{22}{9}\neq0,$
所以$x = \frac{5}{3}$是原方程的解,即$m = 4$时,方程的解是$x = \frac{5}{3}。$
(2)$\frac{2}{x - 1}-\frac{mx}{(x - 1)(x + 2)}=\frac{1}{x + 2},$方程两边都乘$(x - 1)(x + 2),$得$2(x + 2)-mx = x - 1$①,
整理得$(1 - m)x = -5$②。
第一种情况:当$x - 1 = 0$时,方程无解,此时$x = 1,$
把$x = 1$代入②,得$1 - m = -5,$解得$m = 6;$
第二种情况:当$x + 2 = 0$时,方程无解,此时$x = -2,$
把$x = -2$代入②,得$-2(1 - m)= -5,$解得$m = -\frac{3}{2};$
第三种情况:$\because(1 - m)x = -5,$
$\therefore$当$1 - m = 0$时,方程无解,此时$m = 1。$
综上可知,$m = 6$或$-\frac{3}{2}$或$1。$