I already had other (Glock) .40 caliber guns and got to try both the 9mm and .40 before buying. Recoil on the .40 isn't so bad, but either caliber should be good for the Shield's intended purpose.
Every time this topic comes up someone says "there have been a few kabooms with the .40" or a variant. There have also been some kabooms with the 9mm, search Youtube. There are 1911 kabooms, and lots of other scenarios.
For what it's worth, note that the name is 40 Smith & Wesson. Of all the gun makers, I would expect S&W to have a handle on designing guns to run the caliber.