Diagnosis
You're right, it's confusing because the S400 doesn't include wall-mount brackets. The threaded holes on the back are for an optional accessory.
How to Fix It
You need to buy Sony's specific wall-mount bracket for this model, part number SU-WL500 (that's the real number). It's a simple pair of keyhole brackets that screw into those back threads. Once attached, you hook the brackets onto screws in your wall. Don't try to rig it with generic straps—the weight distribution is wrong.
If That Didn't Work
If you can't find the official bracket, a universal soundbar shelf that sits on your TV stand is a safer bet than a DIY wall mount.
Heads Up
The subwoofer is not designed for wall mounting at all. Its downward-firing driver and port need open space on the floor.