@pani A 40 Watt SET will have real problems making bandwidth. That is why the smaller SETs sound better as @larryi pointed out.
Do yourself a favor- if you want to get the most out of your amplifier dollar, its not going to happen with an SET of that sort of power, and throwing more money at it won't overcome the problems you have with the larger output transformers needed to make that sort of power (and output transformer designer can tell you this). Either get a speaker that can be driven easily by an SET of much less power, or get a PP amp that can do the job properly.
There is no reason a PP amp can't be every bit as musical and involving as the best SETs out there; power notwithstanding. Its all a matter of good engineering and execution.
Here is something else to think about: when SETs are compared to PP its usually apples and oranges. The PP amp likely isn't class A, uses pentodes and probably also has feedback. How about level the playing field? How about a PP amp that uses the same power tubes as the SET, is also class A and zero feedback? When you level the playing field in this manner, you find out real quick that SETs just really aren't that good, while the power tubes themselves really are. Do you see what I'm saying?