A Monte Carlo estimate uses 10,000 samples. Going to 40,000, four times the work, halves the error rather than quartering it. Why?

B. Because the error falls as $1/\sqrt{N}$, so tenfold costs a hundred

The estimate is an average, so its standard error goes as $\sigma/\sqrt{N}$, four times the samples buys a factor of two. That square-root wall is why Monte Carlo is chosen for problems where nothing else works rather than where accuracy is cheap, and why variance reduction is worth more than raw sample count.