R
set is independent of the supply voltage.
Its value is given (in normal conditions) by Eq 3 on page 6 of the
datasheet.
E.g. at 25° C == 298,15 K, for a current of 10mA, we have:
10 mA = 227 uV/K * 298.15 K / R
setR
set = 227E-6 * 298.15 / 10E-3

R
set ~= 6.8

With R
set = 4000

the current will be ~ 17 µA.
Of course, one must be careful about power dissipation: with 40 V across the device and 10 mA through it, we have 400 mW.
In a TO-92, at 180 K/W and 25° C ambient temperature, the "junction" will be at 180 * 0.4 + 25 = 97° C, exceeding the maximum operating temperature of an LM334 by 27 degrees (but what about Note 4?).