Oil pressure too high means oil is too thick ?

Think about it as a system. When it's pressurized oil is maintaining a boundary layer, while intentionally allowed to leak through the gaps. It's also meant to be splashed onto the cylinder walls and piston bottoms. It also has to be pushed up through the valve train.

Pressure is resistance to flow, and it's upper limit will be dependent on the difference between the oil pump's capability and the volume leaking through the gaps in the system.

Those gaps widen on higher mileage vehicles. So it can make sense to go to a thicker oil eventually. But if those gaps are too tight, there may be too much resistance in the oil passages to allow the passage of a thicker oil and it may end up starving the oil passages further downstream. What you'll get is high pressures at the pump and low pressures in other important places.

I've never really tried to figure where in the order the oil pressure sender is placed, but where you read the pressure will affect the answer to your question.

Nevertheless, I do not believe running a thin 40 weight will hurt anything on a stock 5.0 in the summer. Listen to your valvetrain clatter and if it's considerably worse on cold start, you should probably go back to 30 weight.

Like Karthief said, stock gauges suck. They're not meant to be compared across the board. You should have pressure and it should act like it normally does. If something changes from what you normally see, then investigate. Otherwise, leave it be.