Since using my new Sony A7 R III (42MP), I now notice when I import my RAW photos, they
automatically show a sharpness value of "40". I am not telling in to sharpen as a import preset,
they just show up this way. I usually sharpen myself.
My older Sony camera A6300 (24MP) did not do this, was always 0 and I sharpened it.
Can somebody explain to me what is going on and what this means?
That means that when Adobe created the default settings for your camera Adobe determined that was a good starting point for sharpness when they created the default settings. If that isn't suitable in your situation, then create your own default settings.
40 is the default - if you find that you start out with a different setting you can create an import preset with that adjustment.