My manual says FLT ALT...... Set desired altitude.
In your example, I would set FL400 because I fully intend to be at that altitude at some time during the flight. The auto pressurization controller schedules the cabin pressure to climb as I climb to FL400 and will level the cabin pressure when I make an intermediate flight altitude level off. The cabin pressure will resume the climb on schedule as I proceed on up to FL400. Worst case...if I never get to FL400 due to bad rides and I forget to change the FLT ALT at top of descent, the aircraft will remind me with an OFF SCHEDULE DESCENT and Master Caution; quickly and easily solved by changing the FLT ALT to my present flight level. I tend to watch the step climbs very closely for fuel efficiency. Other pilots may not.
What happens when you change the FLT ALT during the step? The cabin pressure is 'rescheduled' and the controller makes a cabin pressure schedule 'correction', then resumes the climb versus just picking up where it left off. Worst case...what would happen if you climbed to FL400 and left the FLT ALT at FL360? The cabin pressure differential may be forced well into the yellow band and possibly all the way to positive pressure relief.
My manual, in my opinion, would seem to give you the option to do it either way though. So, it's all up to you given the above considerations.
Regards