Bullets for your caliber are going to measure .400 for jacketed and .401 for lead. The difference is because of the way the bullet reacts under pressure after firing (lead will expand, or rather "obturate" to fill the rifling and seal the bore - copper doesn't react like that so it is smaller to start with so as not to cause overpressure).
The .410 bullets are for .41 caliber.
I buy my bullets mostly from local producers as I have that option. Others can comment on bulk shippers they use.
A word about terminology. Gun folks tend to be particular about terminology, since it's all pretty specific and/or historical. So just to be clear, you are going to load "cartridges," which are completed small arms rounds with brass, bullet, powder, and primer all assembled. A "shell" is a projectile that is hollow (just like the word "shell" implies) - usually filled with other projectiles, an explosive charge, etc. It's more an artillery cannon or naval gun term. Just so you know...