I dont know where this whole "'040 has trouble with whdload" thing comes from. Ive had no more problems with an '040 than I even did with an '030.
If your main interest is in running whdload though there's no need to go beyond an '030 anyway.
The '040 is missing some instructions that are found in '030 CPU's which is what cause some incompatibilities with whdload. I had an Apollo 1240 and I can confirm that about 20-25% of the games (which worked fine with an '030) i tried gave me problems.
'060 CPU's seem to have most if not all of these instructions not found in the '040. In fact every whdload game i threw at my '060 works fine.
As you said though, if all you care about is whdload then a 68030 is the way to go. Cheap, cheerful and ultra compatible.