I read an old thread on this very forum on the subject years ago, apparently someone had asked Smith & Wesson about converting an M&P40 Shield to .357 SIG, but the Customer Service Representative advised against it, citing that unlike other variations of the M&P Series, the Shield was never designed to handle .357 SIG, which operates at extremely high chamber pressures which exceed even that of the powerful 10mm Auto cartridge.
That being said, I think that it would be okay so long as you don't intend to put tens of thousands of rounds through your Shield.
Amusingly enough, I was actually looking at .357 SIG Conversion Barrels for the M&P40 Shield earlier today. I'd like to have one, if only for the sake of having the option to shoot .357 SIG in the event of yet another ammo crisis in which more popular rounds become scarce.
If you can find one that's not too expensive, then I say get it.