Whether or not you use 0w40, just know the info, no harm in that. There are some good reason to use 0w40 PUP, mostly it is out of strict api additive goals of 20-30 weights, so you usually get more protective additives. However, some oils don't use api recommendations on additives, and those offer much more because 0w40 pup is in api, 40 weights just have different additive rules as it is considered heavy duty.
Do a uoa on 5w30 and one on 0w40 if you wish, or just read the 100's we have on the board, depending on the 5w30 you can have a thicker oil towards the middle and end of your interval. 5w30 is much more stable winter rating to weight, known as the swing. PUP 0w40 starts out at 13.7 fresh at operating temp, by mile 4k that oil is in the 11's. You can see hammers 3 uoa's, the viscosity is already in the 11's at 4k miles, and it goes down from there, see bitog. If you run something such as redline 5w30 like hemimann does, it will likely be in the 12's in the same oci. So in other words, it is thicker then 0w40, absolute fact. Dont think 0w40 is "thicker" then 5w30, they have vii's to make it that way and those shear and the viscosity drops much faster then stable 5w30. See the blackstone thread here, look for yourself how thick oils are with lab testing, everything else is just noise, those are facts.