You set the fuel pressure with the vacuum line disconnected because it simulates WOT condition, where manifold pressure is essentially atmospheric. If you are setting the pressure with the line connected and the engine running at idle, the manifold is under vacuum, and therefore, the fuel pressure will read lower, in proportion to the amount of vacuum the manifold is seeing.
1/4mile_runner, could this be why your car runs well at "28psi"? I've never heard of anybody running that lean and getting better performance. The only way I can see this making sense is if you are running over sized injectors, and in that scenario, its really just a band-aid fix.
Anyway, unplug the vacuum line, crank it to 40 psi, and sleep better at night.
Edit: Don't forget to plug the vacuum line back in after the change. the car will run pig rich at idle if you don't!