Since you're considering a new Europa bass, Michael, you might want us to cut you an extra nut or two fit to the taper of the peghead. The edges of the nut are not parallel with eachother, and they need to be hand carved to fit that flare, so remote fitting is not an option. We can slot it for the 40's and maybe also get you a blank fitted one that you could have slotted locally if you find you need to change the strings again. We also sell a nut blank which is the part before any fitting is done. A skilled repairperson or luthier can do this job, and we do provide instructions (caution: the first part of the instruction sheet says, Guess what? This is not an easy job).
The bridge saddles are not custom fit except the slot, and you can purchase extra uncut saddles anytime.
If you want any bass or guitar to play better, then certainly slotting to the correct size will improve it. Individual height adjustments do not solve all of this, there is nothing like a premium setup.
One other thing to consider - when you change the size of the strings, the tension is usually different. Especially if you play with very low action, this will be followed by a truss rod adjustment, and reintonation to be especially nice.
The U-shaped channel the string rests in is slightly larger than the string, otherwise you really couldn't get it in place. Going 5 thousands smaller should actually be okay for most players, but some will find the extra detail of a great fit necessary.