When clicking upgrade my hero I get this message: your hero will reach level 40.....17000 EXP will..

So what that means when it says you will “17000 or 500” experience, is that if you keep pressing the automatic level up button it will put your hero over the level cap by that much experience points. If you don’t care then press away. If you don’t want to toss away that much experience points then raise your hero up by pressing on the individual experience points until you cap out that level. Hope that helps