True: modern oils have better defined lubricating properties.
The issue for us is that our oil is used in a hydraulic system, where it needs to lubricate the pumps and piston seals, but where a low viscosity oil will leak past a seal faster and in larger volumes than a more viscous oil. Higher leakage implies power loss, which implies more pump motion, which implies more heating...
For a given weight oil, lower weight oils are less viscous and therefore generate less heat by moving. However, less viscous oils will generate greater power losses and greater blow by heating than higher viscosity oils in a hydraulic system. (In an engine too, but tolerances are much tighter in today's engines.)
Added to all of this is that the wheel motors that we use are specified for a given weight oil. In the manuals that I have read, it tends to be a straight 30 weight oil. I have no idea how much of an approximation a 10W40 oil is over the range of conditions that we use it our tractors in.
As always, YMMV. I never have to start my PT in -20F conditions. Mine just needs to work when hot on steep slopes.
All the best,
Peter