Generally, the wider the gap, the better burn the mixture will get. There is a point of diminishing returns on that however. And the wider the gap, the more stress is on the ignition system. Especially if a supercharger or turbo is involved. My HiPo's would run fine at 0.040" plug gap. But when a vintage Paxton was added, they ran better with a 0.035" gap.
If the OP is getting good performance at 0.040", I don't see a compelling reason to change that.