I guess as a safety you could always put a one way valve between the pump and the 125 because in the event of an outage it would stop the backflow into the pump.
But like you said, the125 is only going to overflow into the 40 until it hits the lowest level of the "waterfall spout". So if you make sure that the water levels in both tanks are at the correct height, plus water volume in the canister/pump or sump, then a one way valve preventing the backflow into and through the pump would be the only other piece to assure no catastrophes.........right?
I suppose you could use a canister, I would place it below everything instead of above. Almost all canister filters rely on gravity to maintain flow. If it is above the water line, you would struggle to get the pump circulating correctly. Those little pumps inside are designed to push water, not really to pull.
A lot of pumps used for aquarium application work the same. They push water really well but not draw it in.
If you look at almost all aquarium filtration setups, even HOBs the pump is always below the waterline. If/when it is above, the water flow is greatly deminished.
As far as needing a one way valve on the return line, you shouldn't need it. On the other hand redundancies can't hurt.
Just make sure the spout to the return is either at/above the surface of the water, or you put a syphon break (drill a small hole close to the surface). It will draw in air at that spot and stop it automatically.

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