KfW Efficiency House 40 Heating Heat Demand

That is not a condition for construction, but regarding the [Fernwärmeanschluss].

I understand that, but we would like to avoid the district heating connection and instead install a heat pump.

google it
The Energy Saving Ordinance, EnergieAgentur.NRW
Found it somewhat understandable

Primary energy demand according to the Energy Saving Ordinance is approx. 64 kW
Minimum requirement Kfw 40 only related to primary energy demand is 40% of the 64 kW, which is approx. 25%
Everything above the minimum requirement is subsidized with Max. KFW 40

PHPP, that is, passive houses. A simple "KfW 40" house is therefore not possible. Of course, you can build a KfW 40 house, but the requirements are significantly higher. Just google phpp, the website lists the requirements for a PHPP house, then you can compare that with what you are planning.

I would build an energy saving ordinance standard house there and for the saved money, which is around 20,000-30,000 euros at least, save for a passive house and go on vacation 10 times.

He wants to avoid the district heating obligation. I would do that too.