The difference in penetration between .40 and 9mm will vary more dependent on bullet type and manufacturer than it will by caliber. Neither will penetrate more than the other 100% of the time with all bullet types and manufacturers.
Is over-penetration not a concern? Were you considering loading FMJ's for personal defense in a .40 in case you have to penetrate car doors and buildings? I personally carry self defense JHP's in my CCW - Penetrating car doors and buildings is best left to the rifles.
Just because some law enforcement agencies use a caliber doesn't mean it's "optimal". Citing that some LEO's use the .40 doesn't mean much to me. I just read a thread that some Russian authorities still use Nagant 7.62x38 revolvers. Does that mean I'll consider it for my CCW? No. You pick what you shoot best. If you shoot them both the same, pick what's cheapest, you'll practice more often. The caliber debate with "stopping power" is a dead horse - there are too many variables in any situation to determine a clear "victor". You hit in a non-vital area, maybe hydraulic shock will be a factor - in which case both projectiles carry a sufficient velocity to produce it. I have posted examples of individuals surviving 20+ gunshot wounds (by law enforcement) from .45 ACP and 9mm. I came to the conclusion that the only weapon with the "stopping power" we're all looking for is the Apache gunship's 30mm cannon.
Either that, or practice enough so you can place your shots correctly. Who knows, maybe that last round you'll get from the 9mm will be the one you need to sever the spine.