I do this 4 time a day between work and home. The first week I had my Prius, I did those commutes running the most I could on battery only. Then I read somewhere that the hypermilers are always trying to avoid running on battery because of the poor overall efficiency. So on my second week, I tried to avoid the battery runs to keep and kept my SOC at it most. I must now say that I looks to me that maximizing my battery usage was better for FE. I averaged something like 40 mpg with more battery operation and did more like 35 mpg trying to rely mostly on ICE. Would it make sense to think that during the mandatory warming period, the engine is able to charge my battery (since it's most likely depleted from the previous EV run) and therefore make something useful instead of just spinning loadfree ? I do have an EBH (good only for the first morning run) and I also do other longer commutes during evening and weekends where I'm getting numbers like 53 mpg, which is probably very good for the low temperature we're having here right now.
Keep in mind that the mpg for a segment ignores the gas it took to produce the battery charge before and after that segment. So your 35 may be better than your 40. I have a 1.5 mile commute, and we get 50 mpg on it in warm weather, down as low as 40 mpg in 0F weather with snow and ice. Leave climate control off except when needed to defog. Run psi of 44/42 or so. Conserve momentum by anticipating lights and gliding to stops. We just drive, and let the car decide, but generally our state of charge stays at 6 bars. I am in the camp that avoids depleting the battery to avoid energy conversions. But most important is to conserve momentum.
+1 to alternate transportation. I can usually get a hair above 50 mpg on my 4-mile trip to work (though sometimes only 40-45 or so, depending on traffic and lights and temperature and such), but I bicycle 99% of the time. As far as warm-up behavior, about the first 50 seconds, the engine is unloaded, and nearly 100% of your power will come from the battery. After that point (and you may be able to notice the difference), the engine can start charging the battery. You can tell the difference because the RPMs change a bit, and the engine will start responding to the gas pedal. After a little while longer, it will warm up enough to turn off the engine when at a stop, or under limited coasting conditions. (There's a whole thread on warm-up stages, if you're interested.) In any case, the battery will pretty much always be charging in Stage 2 whether you depleted it or not on the last run - presumably, it would forgo the charging if the battery was full (8 bars and then some), but I've never been in this situation. My guess is that you're getting better mileage off of battery because your trip is just so darn short! Add another mile or two, and I bet trying to rely on the battery would become a hinderance (assuming your gauging is accurate so far - I agree with the comment that your 40 mpg may have benefitted from lower fuel economy before and after your measurements).