People are free to do what they like - it's (barely) still a free Country.
Personally I practice with Federal 124 grain FMJ because it feels almost identical to the Federal HST 124 grain JHP which is my carry ammo. It also shoots to the same point of aim and I spend just over $11 bucks (delivered) a box of 50 for the FMJ training ammo and $34 / box of 50 for the HST's. I see no reason to shoot HST's when the FMJ version shoots pretty much the same.
I would also never use FMJ rounds in a SD gun because they could easily over penetrate and will never expand. The HST's and alike will expend their energy expanding inside a target and won't usually exit - to possibly harm an innocent bystander. That is the theory - to me it makes sense to take any and all precautions to the best of my ability, the rest is out of my hands.
Bullet set back is a potential issue. Practicing with .38 Special and carrying .357 Magnum is a problem. However, practicing with similar ammo that has the same POI seems completely reasonable to me.
I have a little problem: Springfield’s Custom Shop built me a 1911 CCO chambered in 9x23 Winchester over 15 years ago. It is my preferred EDC so I have invested in holsters and magazines. I also have two Government Model 1911s chambered in 9x23. I have a supply of Winchester Silvertips but wince every time I light one off because there aren’t any more. I practice with hand loads and Winchester white box 9x23 (not that they’re making more of that either - I just have more). I have checked COAL on rounds that have been chambered several times and can’t measure any setback. The problem is manageable, but it’s not an ideal solution.