Well, if you let all the pressure out of the tank, the gauge wouldn't read 40!
You may want to verify that the static (no pressure or water in the tank) pressure of the air in the bladder tank is set properly. It should be 1-2 pounds below the low cut-off pressure of your pump. Then, when the pump is turned back on, it should fill the tank and the pressure should go up to the high cutoff point. When you use water, it will drop to the low turn-on point, then the pump will turn on again. If the bladder tank's pressure (think of an air balloon or tire) isn't set, then you will not be storing any water in the bladder storage tank under pressure. The pump will turn on, and since the water can't compress, almost immediately hit the shut off pressure, and stop. This can ruin a pump.
Can you open ANY faucet and get water out under pressure anywhere? Hot or cold?