Just do it anyway" - that's the kind of request that makes me wonder if some folks think the wiring in their walls works on vibes and good intentions. I once had a guy in a beach house ask me to bypass the ground on an outdoor outlet because he didn't like the look of the plug. I told him no and packed up my tools, same as you did. Good on you for walking, because a 40 amp dimmer for a mansion sounds like a fire waiting to happen.
Man, some people act like electricity is just magic smoke in the wires and you can make it do whatever you want... A 40 amp dimmer isn't even a thing you can buy at the hardware store, so he was probably asking for something that literally doesn't exist outside of maybe a theater lighting setup. I swear, the more money people have in those fancy mansions, the less they think basic safety rules apply to them. You did the right thing walking off, nobody needs a call six months later about a melted switch box and a fire inspector asking why you didn't say no louder.