In your particular case, you are already using thick oil. It is fully synthetic, still, you are facing some engine oil consumption issues.
If you'll switch to 5w-30, or even 10w-30, I fear, these issues may worsen. You might experience more oil consumption. Smoke from the exhaust may also start, along with other issues. YES, fuel efficiency will slightly increase.
If you keep on using 10w-40, there will be less fuel efficiency, however, there is no smoke from the exhaust, and fuel consumption (like 200 ml after 3-4,000 Kms) can be considered as reasonable and acceptable.
The choice will be yours. Either engine life and health, or, fuel efficiency. I fear, at your stage and particular case, these 02 seem difficult at the same time.