As to why they don't always bottle it at the mixed strength - perhaps it's because these higher-proofed whiskies are more for enthusiasts who will explore the whisky at different levels to find what they enjoy best.
Adding ice is more commonly frowned upon for all of the opposite reasons to the above. The cold shuts down the volatile compounds, and it dilutes the whisky (and thus changes it) in a way you have very little control over. That said, on a hot night or even just in front of a roaring fire there can be something exciting about that too.
The only wrong thing would be to say “true scotch drinkers don’t do X”. There’s no more appropriate place to invoke the No True Scotsman fallacy.
Bottled at 40% is because they watered it down.
Personally I like having a few sips neat, add a drop of water, another sip, a little more water, etc. You get to enjoy it at a variety of strengths instead of just the pre-mixed weaker strength.
Source: previous contributing researcher & author on a whisky book. Member of the Scotch Malt Whisky Society. Lived in Scotland. But also, just visit any distillery there. They’ll serve it with a very small pitcher of water, usually from the same stream they use to produce it. IIRC The Macallan even sell bottles of the water from their stream so you can mix it with the same water yourself at home.