Thinner oil will be easier to pump, hence lower pressure. This is why your oil pressure starts high, and then drops a bit once it heats up to operating temps and thins out...
Think of it this way. Pressure (as read on your gauge) is a measure of the resistance to flow. Molasses would give awesome pressure (very resistive to flowing), but also provides little lubrication.
As I often post, I would go with the oil that gives you decent pressure in all operating conditions (real hot idle is probably where one would see the least pressure).
But yeah, I run both those viscosities and I notice the 10W-40 runs 5-8 PSI lower at hot idle (than 20W-50). My stock gauge would not know the difference.