Obviously the lighter bullets won't have quite the bone-breaking potential of let's say a 500 grain slug. I am a big-bore fan, but heavy slugs, with a good nose profile in .41 Mag will often penetrate with the big boys. In fact, I have seen on numerous occasions where they consistently out penetrate the .429 Magnum in testing. The weight to caliber is relative. Some guys run sub-400 grain bullets in their .50 cals, which despite weight will not likely out penetrate the 265 grain bullets we have tested in .41 Magnum. Depends on how you load. I don't consider 350s in a .475 or .500 to be heavy for caliber, yet lots of guys do and wouldn't hesitate to use such a load on big game. In that case, a .41 Mag loaded let's say with 265, may penetrate deeper. There are lots of factors involved, but because the bullet has a smaller diameter doesn't mean it won't penetrate deeply. Now, if you load it light with an expanding bullet, you may not see the deep penetration I am talking about. Your mileage may vary.

Why do I prefer bigger calibers? It's simple; They make a bigger wound channel in most instances. I like big holes, but to assume that a smaller diameter bullet won't penetrate deeply in an animal is a mistake IMO. Of course, I tend to load heavy for caliber bullets with large meplats and have found no issues really with penetration in any of the calibers I use for the above mentioned reasons. But you are right that when extreme penetration is required, I do prefer really big and really heavy, but don't sell the .41 Maggie short when loaded properly as it will get the job done in spades. Again, your mileage may vary.