Nice review and cool laser, Pouie.
Here's a tip: if you are going to measure divergence, direct the beam onto an untextured matte black surface. This will make it easier on the eyes and make it easier to discern the boundaries of the beam. It will also help with taking photos, because the beam will often end up getting over-exposed on light-colored surfaces which will make it appear larger than it actually is. For low power lasers, a piece of black paper works.
I think your laser looks fine. It's easy to get obsessed with the divergence but these are usually built and set for minimum divergence. DPSS lasers do vary in beam quality especially when the power output is high (40mW is pretty high for a 589nm) so you shouldn't expect that your laser will be exactly the same as anyone else's. Enjoy your laser, it looks great!