If buying the Shield, I recommend 9mm. I am not convinced that S&W has adequately and completely sorted out all of the magazine drop and other issues with the .40 S&W Shield.

On the other hand, every 9mm Shield I have tried works fine.

As to the Compact M&P, I have not found it particularly useful. It will fit in the pocket, but the grip length makes it just a tad more inconvenient to withdraw from the pocket, so the Shield is better for pocket carry. Thus, if you need an IWB holster for the Compact, then barrel length is irrelevant, so the full size seems like the better idea. There are IWB holsters out there that pull the longer grip in closer to the body, so the advantage of the small grip of the Compact is offset by good holster design.

So, for me (and each person will reach his own conclusion) the ideal pair is the M&P full size .40 S&W and the Shield in 9mm. The .40 would use 180 grain FBI bonded hollow points or commercial equivalent, the PDX1, both from Winchester. The 9mm would use the Winchester Ranger 127 grain +P+ JHP (yes, they work fine; and, no they won't harm the gun, at least in 2,000 rounds - this I know from actual experience).