Depends highly on wavelength and pulse length. IIRC the vast majority of laser engraving lasers are pulsed (the cheaper ones are probably qswitched) so 40W actually gives you peak powers much higher than 40W.

Igniting something is actually quite different from cutting or engraving. Lasers are often so good at cutting because they don't deliver enough energy to set things on fire, but enough inatantaneous intensity to rip molecules apart (have a look at comparisons between femtosecond and nanosecond laser cutting for example).