No, the 9mm is not lacking in penetration, and the FMJ bullets in 9mm are a poor design for SD because of the pointy design and small caliber.
Here's a good rule of thumb that pretty much applies to everything:
Don't use FMJ for defense.
However, I totally disagree with this statement. It does not pretty much apply to everything, it pretty much applies to 9mm in particular. In a lot of cartridges with less power than 9mm, fmj could be good because of the added penetration of the fmj's. In larger calibers, fmj's will work fine because of the added weight & sectional density, and if velocity is high enough to make two holes...so much the better.
Each cartridge has it's own range of velocity, weight, and sectional density and therefore must be considered individually. It is very hard to make blanket statements with any accuracy about cartridges.