IMHO, .40 does recoil just a bit more (and a little "differently, in terms of feel) than 9mm. I get the fact that if can be shot more quickly, and with slightly better target reacquisition times, generally speaking.
But...good SD 9mm ammo, especially of the +P variety, start to negate the "low recoil" advantage. The two calibers shoot about the same for me, in the aforementioned scenario. The capacity advantage will always go to the 9mm, but that is minimal, and certainly acceptable for me. I like the bigger bullet.
The same quys who staunchly defend HK's lower capacity when compared to a Glock, for instance, are the same guys who decry the .40 for giving up one or two rounds to the 9mm in the same model HK pistol. To me, it's talking out of both sides, if you get my meaning.
I don't dislike the 9mm. I have a few HK's in the caliber. But I really like, trust, and enjoy my .40 caliber HK's. 9mm fans on this site are found of saying the 9mm will "get the job done" I don't diasagree, in most circumstances. The .40 will also get the job done, and shouldn't be ignored. It is a fine caliber with an establish track record in the LEO community.
Go for the pistol at that price point. You won't regret it.