You simply have the wrong orientation clicked.
If you have made the paper size wide not tall, it does not need to be rotated.
But you must consider how you are going to print this. You need to orient the sheet for the correct feed into the printer.
If it gets feed into the printer on the short edge then you need to set up the custom page size to reflect that.
For a short side feed the paper should be 30" wide by 40" high and orientation would then be the second option of turned 90°.
For a long side feed the paper should be 40" wide by 30" high and orientation would be the first option, no turn.
PS I hope the research has nothing to do with rocket science.
Orientation as in I should have it in portrait and not landscape? I thought this was the case, but I was specifically told to have it as landscape with 40 wide and 36 height. Could you please clarify this part again to me? This is the first time I'm using pages for something like this.
As far as printing, it won't really be my problem. I'm going to take this pages document, convert it to PDF and then send it to the printing department, which they'll hopefully get.
Orientation is which way it is facing not what shape it is. ie Where is the top of the sheet.
Format is whether it is portrait or landscape.
You are performing a double negative when you are turning the page sideways in the set-up then sideways again in Orientation.
PS Avoid transparency, shadows, reflections, 3D Charts and fancy borders on images if you are going to pdf. Pages turns those into 72dpi bitmaps.