I have those 40CDs and must say I am happy with them, the documentation is excellent and I know I will never have to buy anything by Django again... Can't say I've played all of them yet though... Before that I used to have the Django CDs from the Jazz in Paris series... They give a really nice overview of his career as a whole... There was also a box set collecting those Jazz in Paris CDs but that one seems to be rare...
Here is an old thread about Django boxsets