I haven't used them but know a few that have, no issues that I'm aware of. I have a friend that has is FFL so I buy through him.
As for the .40 having more "stopping power", then get a .45...ammo is much easier to find and typically cheaper in my experience.
9mm are great, but their ballistic energy along w/ smaller size = non-permanent cavity and deeper penetration. The larger rounds = permanent cavity (doesn't close up so more blood loss) and don't penetrate as deep do to mass/resistance.
I still carry a 9mm for convenience and concealability.