I've been following this thread since 2012 and thought I'd contribute an update for any future readers. I got a Shield40 (along with stock 9mm barrel) in early 2013 on the strength of the argument of being able to shoot three calibers from one gun. Here I am 3.5 yrs and 3,500 (9mm) rounds later with no issues to report. These rounds have been a mix of FMJ and SD cartridges in 115gr and 124gr. I've also fired 1,000 rounds of .40SW with no issues. Despite my "luck" to date, I'm not endorsing this conversion or suggesting it. YMMV so perform at your own risk.
I'm often asked why I don't just buy a Shield9. The value of a multi-caliber gun to me is in modifications cost savings. I've spent nearly as much on modifying my Shield as I did in buying the gun. I'm not satisfied with the factory gun and would likely spend the same amount on setting up a new gun to be identical to my current Shield40. So for me, a barrel and magazine swap is much more cost effective than a new gun.
The Shield is no longer my only CC but when used it was chambered in .40SW. I was only using the 9mm barrel for practice and plinking. However I recently picked up a Shield9 slide and will be carrying the Shield in 9mm as well. With a .40SW slide and 9mm slide to switch up with my modded frame, I now have the best of both worlds.