I highly recommend Mcgard spline lugs. They are very durable and of great quality. The only time I've seen a Mcgard key break was when an air impact gun was used and Mcgard makes very clear not to use air impact guns (there's even an air impact gun image on the key with a big red X through it
). I've used the same black Mcgard lugs and key for the last 4 years and they still look new.
I've never owned a set of R40's however I have seen a few brand new in the box sets with chips already on them.. The only advantage I could for these is that they are open ended, as you mentioned you may be getting ARP extended studs.