My view will surely be controversial but through my training (some will rush to critisize), I saw very little difference other than theoretical training between OW 18m, AOW 30m and Deep 40 m. If an AOW is unable to understand the relationship between gas consumption and depth or has never heard of narcosis, I am not even sure that he/ she should dive. Ok, the very same problem might be solved easier at 18 m than at 40 m but unless it is a CESA, it all summarizes to training and available gas. I might miss something but even at 40 m and without a balanced rig, my thighs are powerful enough to bring me to the surface on a single without my BCD and I am no Ben Johnson on steroids. First time I dived down to 30 and 40 m, I did not realize until my instructor told me. But I noticed that my SPG was telling me to be careful.
Diving below 40 m is a totally different ball game.
I disagree with you, you might 'feel' the same but things happening inside you differ at 18m vs 40m.
First of all, you are consuming almost twice the amount of air (78.5% more), filling your BCD and equalizing your mask require that delta as well. You are also absorbing twice the amount of Nitrogen. This is affecting your physiology, visibly narked or not. Also, like been drunk, narcosis can have many different behavioral effects, sometimes difficult to identify. Some people get irrational, some get scared, some panic, some don't understand danger anymore, some don't feel any difference until something happens... Narcosis effects are not recognizable easily by many and that's why it can quickly become dangerous. That's why IMO your connection to your buddy is so important. Rarely 2 individuals will get narcosis at the exact same depth so one depends on the other to recognize the symptoms. With my friends, we use simple math via hand signals and we have pre-agree to add / substract a number form the number of fingers shown. If it takes us more time than usual to respond, something's wrong.
In addition, that dissolved N2 means that you have less room for error when surfacing, you might enter a DECO situation without realizing it (at 40m you have 9mn while at 18m, 56mn) and many OWD are not familiar enough with it. Decompression sickness is obviously a bigger threat.
EGO is also a HUGE danger, I've seen many OWD holding their breath to consume less air, doing that at 40m is a different ball game, not only it will increase N2 and CO2 buildup BUT can also lead to a sudden lung overexpansion if some unexpected big sea swelling happens.
Closing, your thighs might be strong enough BUT in an out-of-air emergency situation or BCD malfunction, surfacing at all (safe rate comes 2nd) is extremely difficult. IF you are properly weighed and have all the gods in your favor, you could do it BUT bailing at 40m is no joke when in panic... keep close to your dive buddy
So all and all, depth awareness is critical IMO, the fact that your Instructor had to remind you your depth highlight those risks. Dive safe.
Talking about proper weighting, CHECK THIS VIDEO ALL OF YOU, MIGHT SAVE YOUR LIFE. Its at 25m not 40m but you'll get the idea!