I noticed today that my charge efficiency went from 92-95% to 97.7%. It does have a thicker cable going to the car.
The charge efficiency change (which I'm not sure how you're measuring) is mostly due to the higher power, not the thicker cable.
This is the formula I use for my car, which has held fairly true over various charging setups:
Net Power = (Voltage x Amps * 0.94) - 300
Net Efficiency = 0.94 - ( 300 / ( Volts x Amps ) )
0.94 represents the roughly 94% efficient charger. Subtracting 300 is to account for computer, pumps, etc. that run while charging. Making this 300W be a smaller portion of input power is why a higher power setup would seem more efficient.
My formulas only allow a theoretical max efficiency of 94%, but this might vary between cars a bit.
A more visual representation can be found here (notably, we arrived at very close to the same conclusions independently, which is a good thing):
Better to charger higher or run battery lower?
So basically on a 32A "ideal" setup, one would expect 90.1% charging efficiency, and 90.9% on the 40A setup. Not a super significant difference, but some benefit.
Note: If you're getting charge efficiency from TeslaFi, note that those numbers are not accurate (and have reported efficiencies >100% for some people, which is impossible).