Even the size of 33mm-36mm dress watch are accepted by european, but i think mostly those who like vintage or classic dress watch.
Of cause, when you first seeing the 33mm-36mm side by side to 40mm, you will think it's small, look girlish.. but when you put on your wrist, it really look good. With 33-36mm, your watch straps actually sit better on your wrist, slightly curve, go around your wrist. not like 40mm, if fit on small wrist, the straps actually ended up 90 degree flat at both side due to the lugs already reach both edge of your wrist.
I also found that a 40mm dress watch, it might "accidentally" send wrong impression become a sport watch.
That's just my opinion...
i do have 40mm, 41mm, 42mm watch in my collection, i am referring a formal dress watch now.