"if the lee dies are for both it means they will work for both some thin does not sound right here."
And that is where the problem is, Lee .357 dies are not for both. Their .357 dies are for .357 mag., or longer cases, but will not go shorter. They also offer seperate dies for .44spl/.44mag, 10mm/40 etc. The dies for the shorter cases can work for the longer ones but not the other way around. If you look at the part nos in their catalogs the sizer dies are the same, but the other dies will have different part nos. The .41mag uses the same sizer as the .41AE but the other dies are different, you can load .41mag brass with .41AE dies, but not the reverse. (you will need a different shell holder in this case)
No they won't work at the same setting but all you have to do is turn the expander and seat and crimp dies out a little further for the longer cases.
I use my .32 S&W Long dies to load .32 magnums but to load .32 S&W I had to buy an RCBS seat and crimp die and use the technique above to use the Lee expander.