I have both 9 and 40 compact, also 45 compact and it depends on the ammo I am using which I like.
Strange as it sounds, the Winchester Ranger 127 gr. +P+ (RA9TA) is really soft shooting and accurate in my 9 compact and really accurate...go figure. So for that reason, I do like to carry the 9 compact. Other days, it's the the M&P 45 +P ranger 230 or the 40 M&P. All the compacts are very nice.
Seriously, I quit going smaller than the compacts for a number or reasons. I had to go through the sub compacts only to end up back at the compact versions as all around best. For me, the compacts conceal well, deliver good velocity and have just enough sight radius to handle any reasonable distance. Not to mention their capacity. That said, a person just has to decide what they like themselves.
But I don't find in general, much difference between the 40 and the 9 compact overall in accuracy nor do either have much recoil. A very nice size M&P.
Paul