To be clear, I'm not saying that it's always 40%. I'm not saying that it's the same at every institution. I'm not saying that it's the same for fellowships as opposed to faculty research grants. My point is that these research grants are a way to funnel money to the institutions, as well as to the individual researchers.
In other words, don't believe that this is just a government-to-individual researcher relationship. The universities have an interest in their faculty getting research grants because it affects the universities' bottom lines. They are very anxious to get their hands on this money in some way, and that's why they're so interested in their own faculty getting the grants, as I alluded to.
In some places, it gives the appearance of the universities being more interested in whether or not their faculty get grants than in the work they actually do. It's all about the money.