Looking at the picture the mech is way too far forward, so I am guessing an issue with the hanger or tab position.
I answer to some of the other points raised – the mech is only 1 cage, its the B link that varies in size between the two, pushing the mech backwards to clear the bigger cogs. This is a bit of a hack though as it doesn’t add any chain capacity, only clearance for a wider cassette.
On Motozulus point as to why we wont do an 11-40 with a zee. The above answers half the question – the Zee was designed (chain capacity wise) for a small range cassette. The fact it works in 11-36 is more of a convenient side effect than by design we feel. When you run 11-40 the chain capacity is such that you have little or no slack in the chain, which means that you either:
1) run the risk of ripping it in half
2) run a longer chain. Unfortunately this is not a great solution as the 11T is just bouncy and horrible even with the clutch on as the clutch is not tensioning the chain in a useful direction.
So… we run either a GS or SGS on an 11-40 (depending on spec level). That means you can run a same length chain, but with the hanger more vertical in the 11T giving the chance for the clutch to actually do something useful in the smaller range, and still with some slack when you get to the 40T.