I don’t think you’re doing anything wrong, I suspect the query that ends up running is simply taking a really long time with that many users. 40,000 users is a lot and the plugin is trying to construct a dropdown menu from your list of users which is essentially impractical.
You’d likely have better success by grouping users into smaller blocks and using the “Send to Groups” functionality. Email Users wasn’t really designed to support that many users.
There is a feature available with Debug Mode enabled where Email Users will embed some query metrics as comments in the page as it is being constructed. For performance reasons is breaks large queries into chunks to avoid SQL query timeouts. As each query completes a comment it added to the page to report how the long the query took. In your case you may end up with a partial page that has some of this information although I am not not sure how useful it will really be.
