Some here will foolishly say there is none, but the reality is that thicker viscosity flows across the bearing surfaces more slowly than thinner viscosity does. This increases the dwell time of the oil on the bearing surfaces, increasing the oil's temperature in that bearing. There is definitely a certain point where oil temps can rise too high, but it's a matter of when and how high.
Thicker oil also creates more parasitic drag on an engine, reducing fuel efficiency and power output. While it's not a large amount going from say a 20 to a 30 grade, there's a point where if the oil were like molasses that it would be bad news.
I would guess that above a 60 grade is where we start to see sharp diminishing returns, considering that's the highest that engine oils really seem to go. 10W-60 Castrol Supercar for example, which you'd be likely to find in a Bugatti service bay, is an example of the thickest you find at the consumer level at least. Not sure if 70 grade even exists for PCMO but clearly no automakers see a use-case for one.
Did you miss the part about plans for "700 HP" and "Honda"? EDIT: I mixed up this thread and another by I believe the same OP where he's really asking in the context of a built Honda with lots of boost.
Was talking to Driven oil and they suggested that I stick with 40 weight oil but to move to their GP1 15W-40 because it has much better sheer strength.