The 4040 is better suited toward voice, the 4033, better for a guitar cab. Keep in mind that the 4033 is an electret, while the 4040 is a "true" externally biased condensor. In general, that makes the 4040 more consistent over time. Both are on the bright side, with the 4033 exhibiting a bit more harshness. Both have a "tight" high-end. In the AT family, sibilance is usually less of a problem than mouth noise. Also, the entire AT family is very, very sensitive, but the 4040 is slightly less prone to picking up unwanted noise and has less self noise. I love the AT family, with the 4047 being my favorite of the bunch. I use a 4040 at home and often preferred it to my old TLM103, but not always. Anyhow, the diaphragm in the 4033 is smaller than that in the 4040. The 4033 is considered to be a "medium" diaphragm and the 4040, a large diaphragm.
Hope that helps!
Emmett