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The biggest problem is how to choose the components correctly, the datasheet provides some examples without explaining (of course) why. ...
The key parameters in designing a boost converter are: switching frequency, duty cycle, peak and ripple (ie - peak to peak) current.
In this case, the TPS61040 takes a slightly different approach that is likely the source of your confusion - this IC turns on the boost switch until the peak current rating is reached, or at approximately 400mA, though with some overshoot in that value due to an (appallingly long) 100ns propagation delay.
The inductor equation is L * dI = V * dt, where dI is the change in current, dt is the change in time, and V is the voltage across the inductor.
In this case, let's use nanoseconds for dt and nanoHenries for L, as that keeps the scale consistent on both sides of the equation.
We want to find L, so we need to know or estimate the following parameters: 1) the voltage across the inductor (which is simply Vin during the switch on time in a boost converter); 2) the change in current (which is given as ~400mA in the TPS60140 datasheet); 3) the change in time (which is the switch on time).
In a boost converter, the duty cycle, or percent time that the switch is on, is approximately given by the simplified equation, (Vout - Vin) / Vout, or ~73% here.
Knowing that the maximum switching frequency for the TPS60140 is 1MHz, the "minimum" on time for the switch will need to be at least 730ns (1MHz = 1000ns period), so there needs to be sufficient inductance that it takes at least 730ns to hit 400mA with 3.3V across it. Plugging all that back into the inductor equation, we get a minimum value of 6000nH (6uH) for the inductance.
Now, go to Digikey or Farnell or whatever you use over in Italy to select an inductor of at least 6uH and at least 400mA current rating - in actuality, you will want to select a much higher current rating, and a higher inductance value (which will cause the IC to lower the switching frequency). Let's pick 8.2uH for the inductance, as that is a standard value, and search for parts rated for at least 600mA.
Making a semi-random selection, here is one part that should work just fine:
https://www.digikey.com/product-detail/en/abracon-llc/ASPI-0316S-8R2N-T3/ASPI-0316S-8R2N-T3CT-ND/3060073But as you should infer from the above explanation, there will likely be hundreds of inductors in stock that will work. Just make sure the construction is shielded (e.g. - don't select a rod type) and that the DC resistance (DCR) value doesn't result in too much of a voltage drop at 400mA (the above part has a DCR of 0.34 ohms, so will drop about 0.14V at 400mA).