Which is faster for imputing: R or Python?
I recommend you to use Python. With sklearn, you have many ways to perform algorithm multicore on your data.
Another reason to use Python: If you want to perform distributed computing you have many modules like DASK which are very easy to use and schedule automatically Tasks on different Machines without spending hours in coding multithreading algorithm.
40k rows, 40 columns are not a big problem for python, BUT I think &quot;R&quot; should be able to handle this, it's a very popular language for statistical algorithms. Maybe some settings are false...
Short:

Install Python (or better Anaconda)
on Sklearn-site you will find some demo code
Try it with your Dataset
Maybe you could benchmark it :)