Welcome to Glock Talk. I think you'll find the 9mm M&P Compact very comfortable to shoot, and the .40 version not much snappier than the full size one you've already enjoyed shooting.
The smaller the caliber, the fewer defense rounds there are you can trust. If you've laid in a good stock of premium 9mm loads, you're fine, and you're right about the practice ammo price advantage. However, when ammo gets hard to come by and you have to load with whatever you can find in the caliber, the .40 starts looking better.