I think the problem was that the 940 was ahead of the curve. Today, S&W could probably find a good market for a moon clip 9mm. As for why, it's simple. Cost of ammo. The 38 spl. runs me 19.99 per box of 50 at the only shop where I can find it, 9mm from Walmart is only a bit more than half that price. I would dearly love to be able to slide a 9mm moon clip cylinder into my 620 and I suspect there are a lot of 686 owners who feel the same.
As for moon clips, I love them. I can spend a half hour loading 16 clips for my 610 and when I hit the range I can do nothing but shoot. In addition, at 13.97 per box for 40 caliber Federal Champion, I save just about 6 dollars a box versus shooting 38 spl. with my 620. Compared to shooting 357 Magnums, it's a 10 dollar per box savings.
BTW, don't tell me about reloading, the 4 dealers near my home who sell reloading supplies haven't been able to get any primers for nearly 8 months. I'll think about reloading when components finally become available.