Any 30 grade oil that is Euro A3 rated requires a HTHS of 3.5 or more. There are many of those oils in Australia.
A 30 grade oil that is ILSAC GF-5 rated with have a typical HTHS of 2.9 to 3.1 and there are many of those in North America.
OK, does a Euro A3 oil like M1 0W40 protect more ? Answer is yes if your car needs this level of oil, but no if it's not required.
The oil keeps the metal parts apart without wear, but once they touch then wear starts. If your car needs a high HTHS oil to keep the parts apart, then you definitely need it. But if your cars is OK with a thinner oil, then all a thicker oil does is move them further apart (so to speak), it does not protect more as they are already not touching. However it does give a bigger margin for error when there is higher stress on your engine e.g. Towing, Racing, high temperature and maybe longer oil change intervals (talking shear here, not acid fighting TBN). The cost of a thicker oil is a bit more viscous drag and therefore small fuel consumption increase.
Some consider a thicker oil safer, while others consider it a waste of fuel.
A good friend of mine runs nothing but M1 5W50 in everything and has almost 400,000 trouble free KM on his Toyota, and still zero oil consumption. If he did the same distance on M1 0W20, would the results be as good ? Maybe yes, but my friend wasn't prepared to take the risk to find out. Others here have run 20 grade oils for decades, even when the car spec'd a heavier oil.
Follow your owners manual, or find your own personal comfort zone.