Well what does the tire look like when you sit on the bike? If it looks like the contact patch is about right and the sidewalls aren't bulging, then maybe that might be another indicator that your gauge is off. And on 25 mm wide tires, I'd have to say that 40 lbs of pressure would feel very soft to me when pinched.
Though two or more gauges will probably leave you wondering which is correct, they'll still let you know if one is way off or not. So getting that extra gauge will let you make a more informed decision about whether to simply keep adding more air or not.
And you don't have to get the expensive one either just to see if they somewhat agree.