20/4cM is a very ambiguous amount. It could be a more distant relationship. If the person has gaps in their tree going back to about 1720-50, open the profile for those dead ends and press the search button at the top of the profile. Often you will find a continuation of the line in another tree.
If there is no apparent link it can be worth noting the locations of birth. I have some matches with no link in the tree in the time-frame it should occur, but then you see one person in the tree was born in a place overlapping your lines. If there are enough closely related matches you can sometimes get a good idea if there was infidelity or the bastardy. I have half-solved several others' NPEs by going through all my matches and locating such occurrences.
But there could be any number of issues, like what others have mentioned. As someone noted people can link the wrong person in the tree. Often a spouse. When the tree looks like there is no connection I look to see if there is a tree of the spouse. You can use the origins/ethnicity to get an idea if they may have linked the wrong person. e.g. if the ethnicity says half-Scandi and half-Italian, yet the tree is all in England, then they've obviously linked the wrong person.