Look around for posts from Dr. Haas. Also Doug Hillary. Both have lubricant-related experience with high performance sports cars. Plan on spending some time, as the BITOG search engine sucks. Still, it wil be a fun search because you will see so many other interesting things
Anyway, from my limited knowledge of the topic, the main consideration is oil temp. You want the lowest viscosity possible that will keep the engine safe at whatever oil temp the engine will run. High viscosity costs HP. Plus, high RPM with a thick oil can get the oil pressure up super high and send the pump into relief, maybe even bypass the filter. If the engine oil runs super hot, like 250F, yeah, you'd want that grade 40 because at that oil temp it's a grade 20 (or thereabouts). If you are serious, you'll hook up an oil temp gauge.
Finally, as I understand it, high rpms do not require a thick oil. You have plenty of oil volume for a good hydrodynamic wedge, plus the parts are turning so fast and the power stroke is happening so fast that it doesn't have time to push the oil out of the bearings. It's low-speed grunting where the engine needs the thick oil. The power stroke takes longer, so it has more time to push the oil out of the bearings. Plus oil volume is lower.