If they took region locks away from discs then there is no reason to have them for digital content as well.
As far as the downloading of 40GB bit, I posted this, probably a few pages back if not more. Why do people think you'd have to download 40GB? It's one thing if a game is 40GB on a disc because in most cases you play it right off of the disc, maybe with a minor install to help with load times like on the PS3. Because of that the files aren't compressed at all and so on. But look at the PC for example where you don't play games from the disc but install it to the hdd fully. The files on the disc are thus compresed and uncompressed when you do the install. That single 8 GB dual layer DVD for a PC game can end up taking 12-15GB on your hdd after the install process.
So, you won't be downloading a large 40GB game, you could be downloading half that as it'll be the install files that will be compressed at the time. Also add to the fact that we know you can start playing the game before the install itself is done, so I'm thinking maybe when the first 20-25% is installed. The rest will install, and also download, in the background while you start playing. I think that means that, depending on the game, you might just have to download the first ~5GB or so and you'll be good to go.
We'll know more once people get their Xbox Ones and start to buy digital games but I'm sure they're going to use as much compression on them as they can to reduce the size and time it will take you to download and start playing.