The Golden Boy 

I have a 40h F/R Phil Wood/Super Champion Modele 58 wheel set. It's heavy- but they're strong. Based on weight- I would guess they're stronger than my 36h Phil/Atlas wheels- and those feel positively nimble in comparison although I'm guessing butted spokes probably have something to do with it. I also have a set of 36/40 Suntour Sealed Bearing/Wolber Super Champion Modele 58 wheels that came on my Voyageur SP. They do not ride as heavy as either of the other wheel sets.

My guess is that 40 spoke wheels are just stronger, but 36 lightens it in the steering- where I'd guess it makes the most sense that you can physically feel the weight of the wheel when turning or tracking; 40 spokes on the rear end where (back in the day) the big panniers were carrying the big weight.

Now, even if the 40 spoke wheel was not significantly stronger than a 36 spoke wheel, there's an implied perception that a 40 spoke wheel is stronger- and irrespective of any measurable science behind all of it- perception sells bikes. "And dat is all the people need to know."