SQL Server users and application users
First of all: DO NOT USE 'sa' account.

Create database roles for the application with appropriate permissions, reader, writer, executor etc, with only permissions the application requires.

Secondly, is there any reason this server is not on the Windows Domain? It is preferable to handle permissions via AD Security Groups and service accounts (and managed service accounts) rather than SQL accounts. The benefit is simplified management and increased security - Kerberos vs plain text passwords.

EDIT : as I have not answered your question. In your case the number of users is irreleveant as they transalate to number of requests and spawned workers/threads. You are asking database to serve 40 reports, no matter if they all come from 1 user, or 40 users asks for 1 report, the end result is still 40. In extreme situations it may be preferable to have less users to save resources and time on creating new connections as each takes tiny amount of memory but that is a whole different conversation.

Hope this helps.