40 kHz Emitter Frequency Response
The linear Vs Db scale thing accounts for much of this, and these are not exactly precision devices so the centre frequency being slightly off is not a huge surprise. 

The notch is only about 3dB, and may well be two transducer modes being excited, you may also be seeing a null due to a reflection from the housing or something, try rotating the transducer very slightly off axis and see if the notch moves. 

If reflections causing standing waves are a concern, you can try setting up a time gate on your measurement (Emit a pulse, gate the measurement for when you expect the signal to arrive).