I have a 2010 Q5 with S-Line wheels and Michelin Latitude Sport 255/45/20 tires. Having just returned from its 5000 mile service the tire pressure warning came on. While the tires all had pressure, I was surprised to find them inflated to 40 psi cold! I have reduced them to 35 psi which is still 2 psi higher than listed in the manual or on the door jam, but am puzzled as to why they were so high. Am I missing something?

No, you are not missing anything, but your dealer is missing on prep. ( as well as mine). They pump the tires at the factory, but dealer is supposed to check tire pressure before selling the vehicle.

Friday night 2 days ago picked up new Metheor Gray Q5 very late, was very tired after work and from different test drives, so got Q5 and drove home, ride was bumpy I think I am tired after work week etc., next morning drove again and still ride is harsh and bumpy now I think Sh.%^t what did we buy I can't tolerate the ride, then went on other forum where someone advised to check tire pressure-mine was at 45 psi on Rt side and over 50 on the Lt side (both front and rear tires) !!!

Generally while shipping new car from factories the tire pressure will be set high than the recommended value. I'm not sure why your dealer would inflate it to 40psi after service. Try asking your dealer about that he might have a valid explanation.