there's a much longer police-cert-focused thread a little way down in the forum, you might want to check it out for a lot of police cert talk.
but on your question: one thing, the 40 day count starts from the point at which (in most cases) you receive a receipt that says "we got your request." For us, that receipt came several weeks, perhaps 4, from when Tim went to apply for the cert. THEN it took 39-41 days (mail waiting after a long weekend away, dunno for sure) from that receipt date. So factor that it.
that said, i think there's a lot of agreement that, so long as you've ordered it and there's a good shot you'll have it in time, go ahead and send in that checklist. from what people have said here, the worst case scenario is that you get to the interview without the police cert and you get approved pending the cert arriving at the embassy. that would be annoying, but just weigh that in with your calculations.
we sent ours back without having the cert in hand. now we have it in hand, and we're still waiting on the interview date, so no harm. others have cut it closer. others yet have been "approved pending." definitely checkout that longer link as well.
p.s. jennymc - yes, i think that's it. if there's nothing on the record, the letter sounds like the computer just said nothing is there, rather than being a citizenship award

i think there's a scan of a police cert in the galleries. i haven't seen Tim's in person yet, but that sounds the same.
hope that's slightly helpful, if jumbled, information.