You've already gotten good info. The short version is that "+P" is an indication that a particular round is over-pressure, compared to some standard upper limit on pressure (usually SAAMI). For a small number of rounds (.38 spl, 9mm, and .45ACP, if memory serves), SAAMI has specified a second, higher pressure limit. Those rounds, if marked with a "+P" designation, should fall in the range between the standard pressure limit and the +P limit.
For other calibers that lack a specification for +P, the manufacturer is simply telling you that the rounds are over-pressure. How much? Who knows, unless the manufacturer tells you.
Are such rounds safe? Well, it depends on how much over-pressure they are, but also on the gun being used. There are certainly massively-over-pressured . 45 Long Colt loads that will blow up a SAA but that are safe in a Ruger Blackhawk or a Freedom Arms gun (hence the "Ruger only" section in some reloading manuals).
.40 is already a notoriously high-pressure round. The case is relatively small, and compressed powder can easily result from any bullet set-back, with a pressure spike at ignition the consequence. Some guns will be able to handle that spike well, some will not. Tightness of chamber, leading in barrel, chamber support, and robustness of the pistol overall will all play a part. Glocks are (fairly or unfairly) reknowned for kabooming in .40, as are a few other makes. Ramping up a round that is already on the edge doesn't seem like a great idea. I wouldn't be much inclined towards an overpressure .40; a 10mm can offer the same performance comfortably within SAAMI specs, if you feel you need it.
