There
are +P .40 S&W loads, but they are not very popular (
Heavy .40 +P Smith & Weson Pistol & Handgun Ammunition).
.40 S&W and .357 SIG, like 10mm and .357 Magnum, are capable of delivering over 500 ft. lbs. of energy into a target at typical self defense distances (I'm not talking about muzzle energy). Not even 9mm +P+ can do that, and it's not a good idea to shoot them out of most 9mm guns anyway which are not built as durable as many .40 S&W and .357 SIG pistols which have thicker slides.
The authors of at least three studies feel 500 ft. lbs. is the minimum needed to create enough hydrostatic shock to shut down the CNS consistently which is why .357 SIG and .357 Magnum on average stop people modestly yet significantly better than the average 9mm or even .40 S&W on average (
https://apps.dtic.mil/sti/pdfs/ADA526059.pdf). In fact, they're tied with centerfire rifles based on a study of 1,800 people shot with various calibers.
.357 SIG is basically a 9mm bullet loaded with more power (to create more velocity, but the capacity of the 9mm case is limited compared to the larger calibers).
Velocity and mass produce energy that provides the mechanical energy necessary for the bullet to do damage, and of the two, velocity exponentially creates more energy than mass (which is why KE = 1/2 mass x velocity squared). So a slightly smaller yet faster bullet can create more energy and stopping power (which is why .357 SIG can create more energy than .40 S&W, and similarly it's why .357 Magnum can ultimately create more energy than even 10mm). Of course heavier bullets traveling at such velocities would produce even greater energy (.44 Magnum), but not only does this create more recoil, .44 Magnum is no more effective than 9mm at stopping people because the bullets easily pass through the target wasting much of its energy: both fail 13% of the time on average compared to .357 SIG/Mag which fail 9% of the time along with centerfire rifles).
Yet, these more powerful calibers are much better at other aspects of ballistics such as the number of rounds to incapacitate. While 9mm, .40 S&W and .45 ACP require three bullets on average to stop someone, .357 SIG, .357 Magnum, likely 10mm (I don't have data) and centerfire rifles only typically require two. When you do the math this gives a significant advantage to .357 SIG. For example, the 15 + 1 = 16 capacity of a Glock 19 divided by 3 bullets on average to stop someone equals 5.33 people (or 5 because we have to round down). The 12+1 = 13 rounds of a P229 divided by two rounds on average, however, equals 6.5 or 6 people. Most of us are not seriously concerned about taking out 6 vs 5 people with a single magazine, but accuracy typically goes out the door in a gunfight and, for the sake of comparing capacity, it demonstrates that there is more to it than the number of rounds in a magazine.
The study I often link takes into account metrics like % of hits that were fatal, average number of rounds until incapacitation, % of people who were not incapacitated, one-shot-stops, accuracy (head and torso hits), % actually incapacitated by one shot (torso or head hit), etc. which are all at least modestly improved in some or all categories with the more powerful rounds (
An Alternate Look at Handgun Stopping Power | Buckeye Firearms Association). No study is perfect and this one is no exception (and I don't even agree with all the author's conclusions), but it's nonetheless useful data in my opinion (1,800 actual bodies shot with various rounds). These are averages, so they have to be taken with a grain of salt, but they provide useful data nonetheless. For example, if .40 S&W can't match .357 SIG, there's not much hope a 9mm in any form can do any better. Or, if a .44 Magnum can't stop people as often as a .357 SIG, certainly a 9mm can't either.
The true advantage of .40 S&W is first that—on average—it can improve one-shot-stops over 9mm. Again, this is on average, so +P or +P+ 9mm rounds may or may not equal .40 S&W on average (but the more powerful .40 rounds might still do better yet). But the second and more important advantage in my opinion is that many .40 S&W pistols can be converted to .357 SIG. For the sake of two-legged creatures, there is no conclusive evidence I'm aware of that a 10mm can do better (it's possible, but I don't have any data supporting that). .357 SIG, however, can have less recoil with loads rated with similar energy than the larger/heavier 10mm rounds, so as I see it, .357 SIG reigns supreme.
But like I said, 9mm is great. Most of my pistols are 9mm, and it certainly is my choice for most compacts and certainly anything smaller, but for large compacts (e.g. P229) and larger pistols, I think the .357 SIG is hard to beet and .40 S&W still has more potential than 9mm. They're all great rounds. I'm mostly nitpicking with data, but it's also why I have pistols chambered in 9mm, .40 S&W and .357 SIG. I even have a .380 ACP. They are all great rounds that offer their own advantages.
That said, Merry Christmas!