If the CATIA assembly is converted to a single step file, then I'm guessing the output is 40 solids in one file.
If that is the case, you can use the Create New Component command, and then select each solid to move the solids into separate prt files in NX (just repeat 40 times...).
If each...
If Teamcenter is not creating JT files for everything, you can set a preference in the Save Options to Create JT data. This will build up the JT files, and allow you to view the assembly with TC Vis instead of NX.