Yes it's 40 wires.
Something I forgot to say but now I realize it could be important: I haven't yet received the male-female cable!
Actually I was so impatient that I tried with a normal female female cable, in which at one end I plugged this:
I've moved that black plastic to the middle of the pins, then plugged the pins in one end of the cable (so it looks like a male female cable) and to the TFT shield.
Now I realize the pins, with the black plastic, are a little short to go fully into both connectors, do you think it is the cause of my problem?