Why does my oil purssure go down when I let it idle then go up when I give it gas?

Oil leaks out of the engine bearings at a controlled rate, and at idle, the oil pump has a harder time keeping up so pressure drops a little. 40 pounds if perfectly fine and normal. At higher speeds the pump is running faster and the pressure builds up until the pressure relief valve kicks in and just dumps some of that oil back into the oil pan.

You'll notice less of a drop when the oil is still cold and thicker. A lower viscosity oil will aggravate the issue. It's thinner and will ooze out of the engine bearings more easily. Even if pressure drops below 40 pounds at idle with the engine warmed up, it doesn't sound like you have a problem. You're just more observant than most drivers.