For what it's worth, the established SAAMI ceiling for 9mm +P is 38,500 PSI, which is about 500 PSI above the "working limit" Federal gave you. It is possible that P9HS3G1 could, under some circumstances, exceed 38.5k by a small margin, hence the "+P+" designation.

Is it worth the admittedly small risk of shooting a round that could spike above +P pressures but nowhere near "proof load" territory? That's something only you can decide. As a rule, I don't tell people what they "should" use in their own personal firearm.

What I can say is this: Try a cylinder full just to see how it shoots in your particular 940. If it performs less than satisfactory or you just don't feel comfortable with shooting any +P+ ammo at all, there are plenty of other 9mm loadings that are excellent choices, Winchester Ranger RA9T being one of them.