You're in left field. Set the crossover on the sub to it's highest setting - 200Hz. Better yet, disable the crossover if possible. If you set it at 40Hz then everything above that will be filtered out.

I believe the Auto Setup will set speaker size and crossover but its choices can sometimes be a bit wonky. I suggest manual setup with all speakers set to Small. For the crossover settings, my general rule of thumb is this for the mains and center channel: Take the -3 db rating for the bottom end of the speaker's frequency response and round it down to the nearest multiple of 10 and then double that to get the crossover frequency. For example, if the speaker is rated down to 37Hz, I'd set the crossover at 60. For surround speakers, I usually go with the closet crossover setting that's greater than what the speaker is rated at. If the speaker is rated down to 82 Hz, I'd go with 100Hz as the crossover setting. This is just a guideline to get started, adjust to what your ears like best.