I would choose the 3-9x40. At anything above around 5x, it will gather noticeably more light in lowlight conditions or shooting at night.
I agree, mostly. To expand on it a little here is some info I posted previously on the topic (but on 50mm vs. 40mm):
Glass and coating quality trumps objective size every time. The reason a 50mm obj. "can" be better in low light is that it increases the exit pupil diameter at any given magnification.
For example, the exit pupil of a 40mm obj. set at 9x is 4.4 mm. The exit pupil of a 50 mm obj. set at 9x is 5.6 mm. Most of us have pupils that will dilate to over 5 mm so there will be a slight advantage.
If you move scopes down to 5x, the 50 mm obj. will offer no advantage as the 40 mm scope will deliver an exit pupil of 8 mm, and is about the most any of us can use.
Basically, what it comes down to is this: in scopes of the same quality, a 50 mm obj. will allow you to use a higher magnification in low light.
So, unless the 33 mm obj. has better glass and coatings than the 40 mm obj., I concur with kudu.