Well... Now that's something very confusing for me that engine health is good, there is no smoke, you are buying oil from Caltex own shops, and still engine oil reduction problem is there.
As other brother has said that he is using Caltex 0w-20 and there ain't any oil reduction issues, I think the problem is either with your car's engine, or the shop.
0w-20 Vs 5w-40, engine oil consumption should obviously be more for 0w-20 for the same engine.
And as other fellow member has again rightly said, measure the engine oil quantity precisely, and as mentioned in the manual. If you overfill, or under fill, in both cases it can be dangerous for car's engine.