I saw a redpost about this a week or so ago. He said this:

"Think about it like this, if your attack applies lifesteal, it'll apply last whisper's armor penetration (ie yes for mystic shot, no for heartseeker strike). It is an on-hit effect so that it does not become too strong against towers."

It isn't a global 40% armor penetration or else it would be too strong on towers. It should be thought of as an on-hit effect that says "this attack will ignore 40% of the target's armor." Of course, turrets are not affected by on-hit effects.

My friend and I noticed this and tested it in a practice game. It still works, just doesn't show up.