How come a return ticket from my country costs less is paid in full than when paid with miles + cash???
example: $500 if paid in full, or 40000 miles + $600 if miles are used???

Sounds like you mean an award ticket. And it's due to the taxes and carrier imposed surcharges. It's not a good use of miles, it's better to use them for upgrades.

There is in fact a cash+miles option where you can buy the 500$ ticket and part-pay with miles so 40k miles might reduce the ticket cost quite a bit, maybe worth considering of your goal is to get the cheapest possible ticket

It would be helpful if you are more specific, otherwise your indignation won't get much attention from this forum.

Maybe there's a sale on and award tickets aren't affected by it.

Mies & Cash is usually by far the worst way of using miles, and only makes sense if miles would expire otherwise and cannot be used for an award ticket or upgrade as not enough. A bunch of carriers now seem to charge nearly as much (if not more, check out LH Group at times) in surcharges and taxes on award tickets as the total cost of a revenue ticket is; this makes little sense, given that fuel surcharges and taxes should be the same! In these cases it may make more sense to book a revenue ticket and then upgrade with miles, depending on the carrier (but most carriers try to stop this by charging much more miles for upgrades than an award ticket would cost, e.g., LH Group again).

From my observation, the miles program can vary. Recent purchase JNB -MEL (with miles and pay) worked out just a little more expensive than DXB - MEL (all flights in Suites P) because there was a little red ticket next to the fare ( ie as a full priced fare)
In other words the DXB - MEL was x thousand points plus there huge fees ( as a miles redemption)
but the JNB - DXB -MEL was same number of points and only few hundred dollars more than there huge fees ( as a miles plus pay) works for me 2 x Suites in a 777 and 2 x Suites in a 380.
i have to admit, it can do you head in.

I find that generally speaking, the best use of miles is for upgrades. That way you pay the 'taxes' (mainly 'airline imposed surcharges') for the lower cabin fare, which is what the killer is for award tickets. The upgrade does not attract extra surcharges and usually no extra taxes, the notable exception being travel out of UK airports where the APD for any cabin higher than the cheapest one is significantly more than for the cheapest one (economy) and the airline will collect this difference. There may be other examples of these additional charges but I am not aware of them.If you have paid for a J ticket and upgrade to F, there is no additional APD.
So apart from the above mentioned anomaly, upgrading is 'cash free'. Of course upgrades need to be available and that can (for some routes) be quite a problem. I (and mrs t) have had pretty decent results asking for Y to J upgrades in the lounge at DXB for CPT flights which are notoriously difficult to find the 'normal' way (in advance). But you have to be prepared to be disappointed and sit 'in the back'