I have both and I prefer the VX-2 3-9x40.
The extra 7mm of objective lens does make a difference in terms of light gathering ability, exit pupil at 9x (4.4mm versus 3.6mm), and in overall image quality.
The adjustable objective on the 3-9x33 isn't as nifty or as necessary as you'd think on a long range .22 LR. While 9x is about the point above which an adjustable objective becomes necessary, if you are primarily shooting at 100-200 yards, the 150 yard parallax adjustment on the 3-9x40 is ideal, and if the scope is properly mounted so that your eye is near the optical center, parallax won't be significant at other distances.
The major advantage of the VX-2 3-9x32 is the close focus capability, but unless you're primarily shooting at close ranges and feel the need for 9x magnification it isn't needed. Back the power off to 3-4x on the 3-9x40 and you'll be have adequate focus for 15-25 yard shots.
The image quality on the VX-2 3-9x40 is good enough to see the swirl from a .22 LR, and the optics used in it are the same optics that were used in the previous VX-III series. The VX-2 also has very good 1/4 MOA click finger adjustable turrets and the adjustments are both accurate and repeatable, which is a real plus for 200 yard shooting.
Mount wise, you'll want to keep it as low as possible to preserve a decent cheek weld, to minimize any parallax error.
At 200 yards, you've got enough elevation on the scope that a 20 MOA base helps keep the reticle in the center of the optical system, and it will give you enough adjustment for 300 yard shots if the opportunity arises.
An alternative to a 20 MOA base is to get a set of Burris Signature Z rings and either a pair of 10 MOA inserts (to get 20 MOA) or a set of 5, 10 and 20 MOA inserts to give you 5, 10, 15 20, 25 or 30 MOA of angle on the scope. Be aware though that when you add 20 MOA to the scope with either a base or rings, the objective bell of the scope will now be closer to the barrel - which is an argument for medium height rings.