I've yet to own a BHP or copy though I've shot many 9mms and two 40s. Actually, in the BHP, the 40 is quite tame and I would own a BHP in 40 if the right deal came along. I have about equal faith in the best loads in 9mm and in 40 so that wouldn't sway me one way or the other but it was originally a 9mm design, and I'm pretty sure most holsters for the 9mm BHP won't fit the 40... At least not a properly fitted leather holster. If I were specifically in the market for a BHP, that alone - along with ammo costs - would probably sway me towards the 9mm.
Having said that, the two 40 BHPs I've shot had so few failures that I can't remember them... Not saying they were perfect but I would at some point in the distant future, I'm sure I will own one in each caliber.