As 3hounds mentioned, you typically only go down in calibers (ie, you can go 40->9, but not 9->40).
Reason for that isn't really pressure (the gun is sold in both forms), but most gun models have a larger diameter barrel for the .40's vs the 9mm. As a result if you plug a stock 9mm barrel for that gun into a .40S&W it'll rattle around and likely not work right, and a .40S&W barrel won't even fit into the 9mm slides.
This is just a matter of convention though - I'm sure somebody somewhere is making a model of pistol where the barrel diameter is the same for both, but its not the norm.
Most "conversion barrels" are made in the .40S&W profile but with a 9mm bore. You just plug in the barrel and a 9mm mag and blast away.
That said, I don't see as much value in it for the SD series as some guns. Conversion barrels are an aftermarket proposition - companies like Lone Wolf and Storm Lake make them. Price for a 40 to 9 conversion barrel is typically around $125. You also need at least one magazine which will run about $35. With those two you're up to $160. Though right now things have gone crazy the SD9VE's are normally a ~$300 gun and you get two mags. I don't see the economy of converting when the conversion exceeds 50% the cost of a new gun.
That factor may explain why they don't make one (and never made one for the Sigma .40 either to my knowledge, despite it being around for nearly 20 years).
