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What makes you think that 40W is better than the generally BMW engineer recommended 30W oil? Unless you are going pick something like a low viscosity 40W oil that is very close to a BMW 30W (which wouldn't be BMW oil) it is going to be thicker than BMW recommends and I would worry about long term reliability of all the engine valve train adjustments (e.g. vanos and valvetronic) that depend on proper oil viscosity to work properly.
Maybe one of the oil gurus can weight in, but that is my take on 30 vs 40 weight oil. I suppose if you are planning a lot of track time with the engine running at high temps, you could make an argument for the thicker oil as it may give some benefit in that situation, but nothing about your post suggests heavy track use.
edit: did some research and the 40W may be among the recommended oils. In that case, most of my argument is moot. FWIW, there are a lot of engine oil threads findable with a quick search with far more knowledgable posts than mine.
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