I bought one from the same seller and did the upgrade on the same logic board as you did. Applications that take advantage of the full 68040's floating point unit will be dramatically faster than with the original 68LC040 processor. On the LC version, floating point operations are emulated in software, which can take 10-20x as long. Non floating point operations will run about the same. Some software requires a floating point unit and will not run on your original 68LC040.
As for frequency, hardware on the logic board, not the processor determines the speed. If you found a 40MHz 68040, it would run at 33MHz unless you modify your logic board (as per the links others have posted.)
In short, you bought the right processor for your machine. Some applications will be hugely faster, others will be the same. Given the mask codes the seller has, a heatsink is not mandatory, but is a good idea.