I think the 40'000 track info related to the number of tracks that could be stored on the 20Gb internal hard drive, called Music Collection, rather than the size of any external USB stick. This comes with Media XL (I think).40,000 I believe. Somewhere in the manual...
Any quoted storage figure will also depend on the bit rate of the individual sings i.e. 128 or 256Mbps. The higher the bit rate, the better the quality, but each track then takes more space, so you would get far less than the 40'000 estimate at a higher bit rate. Different systems use different bit rates.
Response is also reduced if you do have the internal Music Collection drive, because it automatically downloads all tracks from the stick on to the hard drive when you connect it.
The onboard hard drive does not support playlists: after a lot of emails back and forth I have had this confirmed by both MiniUK and Harmon Kardon