Raise your hand if you've worked on a shooting case involving overpenetration into an unintended victim.
I'm retired now but I've had a few: they require an additional layer of (improbable? Who's to say?) bad luck beyond the initial really bad luck that has you shooting at someone in the first place - while unintended shootings due to overpenetration are improbable, I have seen that they can happen.
Is it something you need to think about? Beats me. You know how your house is situated with regard to other houses and how any other residents in your house are situated with regard to your field of fire. You may or may not know how that particular .40 ball round does in drywall and the outer walls of houses of the type where you live. (I would heartily strive to avoid that combo in our personal situation.)
That (overpenetration) is the only concern I would have with ball ammo. I can tell you that of the couple hundred handgun killings I worked on, a hole in the heart/aorta or brain/spinal cord stopped aggressive action 100% of the time. The .40 FMJ round and P226 you reference are fully capable of making that hole . . . and you're practiced and accurate with the reliable-in-your-pistol combo.
Here's a prayer it all forever remains a theoretical concern for all of us.