FWIW I have heard from some WRX owners who attempted to use oil heavier than recommended in their FA20F engines only to have a bunch of warning lights go off soon thereafter. I personally would not be against using something like a light 0w40 such as Mobil 1, Valvoline, or Castrol, Pennzoil, etc but just be forewarned that it might not work out as you would hope.
I am thoroughly convinced that Shell Rotella T6 Multi Vehicle 5w30 is one of the absolute best oils you could use in a Subaru TDGI engine, period.