A thicker film would coat any internal components for much longer, the thicker it is the less oxidation prone it is, friction between the oil helps accelerate moisture burn off , increasing the longevity of the oil, thicker oils such as a 15w40 have less viscosity improvers which can lead to less oxidation and decreases the eventual degradation of the oil due to less reliance on viscosity index improvers.
Be it diesel or gasoline based motor oil, similar 15w40's should still have relatively similar film strengths due to the base oils and other improvers added, although anti wear additives in diesel oils help maintain film strength much better than gasoline hdeo's due to additive packages and their difference because of the protection of emission components.
a 10w-30 has much better cold flow than a 15w40, 10w30 used to be I believe the standard motor oil for many vehicles.
Although depending on your environment, you should use the appropriate cold start weight, if its snowing, and very cold, a 5w or 0w will offer much better cold flow, at this point the oil is thicker a whole lot , I would not worry about timing chain protection in such coldness, as the oil will be somewhat thicker than the actual cold start weight as stated, so in the winter a 0w-x, or 5w-x , and maybe 10w-x is much better suited than a thicker oil, as coldness increases the viscosity of the oils, even the thinner ones, it should not sacrifice protection.
You have no business using such thin oils in warmer climates, ambient temperatures play a big role in engine temperatures, most vehicles are liquid cooled, and these radiators are cooled by air.
Your oil plays a big part in cooling an engine, using thinner oils in a warmer climate can lead to higher degradation of the oil, a thicker oil should absorb more heat due to higher friction, and a thicker oil has higher film strength, which is why thicker oils are much better suited in hot climates. This goes for short trips aswell, engines will heat up quicker, and hot engines can tolerate thicker oils than shearing oils that can accelerate wear.
It comes down to your ambient environment most importantly.
Technology changes, additives and engine design certainly also come into play here. Is 0w20 appropriate for ALL engine designs? NO! Is it appropriate for many modern vehicles in production today, yes.
You are looking for facts. So here is one, 20 grades have been around for 20 years now. Many of these vehicles have over 200K miles on them. FACT.