I think you're still glossing over the part where most of the flash energy output is delivered at the beginning of its cycle. Yes, you may need a 1/40s exposure to eke out every last photon - this may be useful if you're shooting at night or in a cave and have zero ambient light. However, when you're balancing flash light and very strong ambient light, such as shooting into the sun, very short exposures limit your exposure time to when the flash is at its brightest, before it starts to dim. Yes, you lose part of your strobe output, but you can compensate for that by opening the aperture and/or increasing ISO.
Using made up numbers, if you go from 1/125s to 1/500s exposure, you lose two stops of light, but if three quarters of your strobe's output is delivered within the first 2ms - i.e, the 1/500th of a second - then you only lose a quarter of the strobe's light, or half a stop. Opening the aperture by half a stop, or increasing the ISO by the same amount, will compensate for that, and while it will admit half a stop more ambient light as well, it's much less than the two stops that you dropped by decreasing the exposure.
End result is that you keep the same foreground strobe exposure, but lose 1.5 stops of ambient light. An ND filter cannot do that; it will affect the strobe and ambient light equally.