I use 40 wt thread all the time for piecing - never knew it was suppose to be too thick. I've just started using some 50wt and will admit it's sure nicer having the bobbin not go empty as fast, but don't find it's made a noticeable difference other than that.

I use the same thread in my serger as my other machines - but I don't buy the stretchy type stuff either.

I've never seen a weight mark on a serger cone, but it is not thick thread. It is very thin.