A 40000V coil wil not necessarily (or likely) deliver 40000V. You are correct in saying that the coil will discharge its energy when the voltage reaches the point at which it can jump the gap. But what happens to the rest of that 40000V? What happens is the coil discharges its "energy". This is in the form of an electrical circuit which consists of both voltage and current.
Your 40000V coil has 4 times the energy than a 10000V coil. With the same plug gap, they will both discharge at the same voltage, but the 40000V coil will discharge 4 times the energy creating that big fat blue spark.
If your old coil will light off the mixture fine, than you don't need a bigger coil, however, if your old coil is just barely up to the task then a better coil may help.
A larger gap is not for the purpose of creating more spark energy. You want a larger gap to give more room for the flame front to grow. More spark energy is simply a requirement of a larger plug gap. Idealy we would have .100" gaps with tons of room for the flame to start, but problem is that's too hard to jump and you end up with erratic spark fireing sideways to ground, or jumping within the dist cap as Buick said, fireing out the side of the wires, or arcing at the coil tower itself.
Basicly, the higher voltage coil is most likely not necessary, but good insurance if you are buying a coil anyway as a tune up or a 12V conversion.