From K40 initial setup and regular maintenance please see this graphic:
The typical lens in a K40 is a 50mm lens; that is, it’s 50mm from the bottom of the lens to the focal point. The beam is a few mm wide when it enters the lens. Note that most of the height between the lens and the focus point is hidden inside the nozzle. Therefore, if you were cutting 40mm perspex, the beam when it exited the perspex would be almost as wide as before the lens focuses it. The cut would have a substantial angle, except that as it widens it loses effective power so that substantial angle wouldn’t actually show up for 40mm of depth.
@HalfNormal recently linked to a very useful resource on understanding focal depth in a laser:
Ultimately, I would not expect 40mm perspex to be a success. (I wouldn’t expect it to be a success on the 100W laser I’m building even with a 4" lens.)
Now, 3mm perspex should work fine. Please post pictures and describe your problem in detail, and there are lots of folks here with experience to share. No guarantees, but more eyes with more experience can’t hurt! 
Have you added air assist?