Ranstice,
I've moved your thread from the gallery to Technical Discussions, where you're more likely to get helpful feedback on your issues. I also added a couple words to the title of your post for the same reason.
As a first step, I'd suggest shooting a much deeper stack than 40 images, and make sure your increment between shots is small enough. I'm not certain that all elements of your light-colored scales have in-focus images to stack from. For a similar subject and lens, I'd use an increment of 1.8 microns, and likely shoot 100-200 images (or more, if I also wanted the dark scales in focus).
If that doesn't work, a question: Is this butterfly wing the first subject you've photographed at 20x on your rig? If so, I'd suggest testing your rig with something less problematic than a butterfly wing. My choice would be a piece of paper with fine, tightly-spaced laser printing, cut out and pasted with a glue stick onto a glass microscope slide. Can you take nice, sharp stacks of that?
If so, try further immobilizing your butterfly wing by using the gluestick to paste part of the wing flatly and firmly onto a glass slide. Then mount the slide on something solid and try photographing it again. A butterfly wing glued to a toothpick (as shown in your setup photograph) may move or flex during photography, due to equipment vibrations, air movement, the sound of your flash, or rapid heating/cooling of the black wing scales caused by the light of the flash and imparted by the black scales to the wing.
If you can't get sharp images of a laser-printed target, you may need to make your rig stronger and less susceptible to motion. This seems distinctly possible, because your rig shows aspects that could make magnifications like 20x problematic: Subject appears more susceptible to motion than is ideal; camera rig appears more susceptible to motion than is ideal; camera and subject are not mechanically coupled to reduce impact of subject and camera motions.) To shoot at 20x, you may need a more solid rig. (For, examples, see
Example macro rigs).
These thoughts are just a start, but can help you eliminate some of the more common problems. I'm sure other members will suggest good ideas.
By the way--and you likely know this already--when you get this issue fixed, and want to include both the light and dark scales nicely exposed in a single image, you can likely due so by carefully shooting raw. For similar butterfly wings, I shoot raw and overexpose the light scales by about 2.25 stops. Then in my raw development software, I pull the highlights left into the range a tiff file can handle, and pull the shadows right, also into tiff range. Then process from raw to tiff and stack the tiffs. How many stops one can compress dynamic range varies by camera and possibly conversion software, and needs to be determined by testing.
Good luck!

And please keep us posted as you test things.
--Chris s.