The advantages of a 5W-40 oil are that it provides good lubrication hot or cold. Your engine oil will come up to operating temperature more quickly and consequently there will be less wear on the engine following a cold start. The disadvantages are that all 5W-40s are synthetic and therefore expensive compared to conventional oils and that you might get seepage past old seals.
I am not convinced that lower zinc levels in newer oils presage disaster, but if you want to play it safe use a heavy duty engine oil like Shell Rotella T Synthetic 5W-40 rather than a synthetic passenger car motor oil in that grade.
Like Velocemag and Peter I'm using a 15W-40 HDEO (Chevron Delo in my case). Even though I just put in a new rear main, the engine still leaks oil from an undetermined source, so I can't justify the expense and presumed additional leakage of going to a synthetic at this point.
There are, however, plenty of folks happily and successfully using synthetics in their Alfas. You'll just have to experiment to see if you're one of them.