I tried below and it seems much faster.
UPDATE R
SET Value1_Check = P.CheckName
,Value2_Check = P2.CheckName
,Value3_Check = P3.CheckName
,Value4_Check = P4.CheckName
FROM #DataTableName R
LEFT JOIN #Join P ON (ROUND(R.Value1_Pct,4) >= P.Low OR P.Low IS NULL)
AND (ROUND(R.Value1_Pct,4) <= P.High OR P.High IS NULL)
LEFT JOIN #Join P2 ON (ROUND(R.Value2_Pct,4) >= P2.Low OR P2.Low IS NULL)
AND (ROUND(R.Value2_Pct,4) <= P2.High OR P2.High IS NULL)
LEFT JOIN #Join P3 ON (ROUND(R.Value3_Pct,4) >= P3.Low OR P3.Low IS NULL)
AND (ROUND(R.Value3_Pct,4) <= P3.High OR P3.High IS NULL)
LEFT JOIN #Join P4 ON (ROUND(R.Value4_Pct,4) >= P4.Low OR P4.Low IS NULL)
AND (ROUND(R.Value4_Pct,4) <= P4.High OR P4.High IS NULL)