Either will do all you want for pen turning. Largest diameter of ER-32 is about 3/4". ER40's can go up to about 1" but don't go as small. ER-32s are a little more popular for pen turners but probably only because many use the Beall system and that's what he offers.
The difference that I know of is the size range in the collets. since 1/4 inch is the smallest you want in order to hold a pen mandrel you will just want to make sure the range goes that low. The ER32 set only goes to 1/8 so it would make me wonder if the ER40 gets small enough.
Thanks for the information, now I can finally order a set once I find a place that will give me a good price and ship them in a reasonable amount of time.