I took two classes from Tactical Response years ago -- Fighting Pistol and Fighting Rifle. James Yeager did not teach either one.
The classes were okay. I've taken similar intro level classes from a variety of instructors over the years and what Tactical Response taught was fine. Not too dissimilar from what everybody else is teaching EXCEPT they advocate a 360 degree scan of the environment to check for additional threats and to eliminate tunnel vision. That is probably applicable in some circumstances and not indicated in others.
I'm issued a .40 cal Glock 22 at work. I also own a Glock 35 and I was previously issued a Sig 226R-DAK in .40 cal (and I have one of those too). And I have a Smith & Wesson M&P in .40.
From a ballistics standpoint, the advantage of .40 over 9mm is that the .40 makes a slightly bigger hole and generally uses a slightly heavier projectile, which means it might have better performance in intermediate barriers like heavy clothing or laminated auto glass. .40 S&W may not be as intrinsically accurate as some other calibers, and it does have a sharp & snappy recoil impulse and some shooters don't like it for that reason. .40 can be a handful in a small platform like a Glock 27. (I have big hands and I am not particularly recoil sensitive and I can shoot .40 in a full size gun all day every day but I don't care to shoot it that much in a smaller gun)
I usually shoot commercial reloads from Freedom Munitions and they cost me about $225 a case.
I do have drop in 9mm conversion barrels for all of my .40 cal guns -- the ones for the Glocks came from Lone Wolf, the one for the Sig is a Barsto and the one for the Smith and Wesson is a Storm Lake. All those guns function fine with the conversion barrels and 9mm magazines. I bought the conversion barrels to be able to take advantage of sales of 9mm ammo -- I haven't used them that much.
So far as the "Police don't use .40s anymore" rumor goes -- as a cop for almost 37 years I'm always fascinated when somebody who is not a cop and has never been a cop wants to tell me all about law enforcement . . . (do NOT presume anything you read in "Guns & Ammo" to necessarily be factually valid) . . . I suspect it's a regional thing. Some agencies have gone back to 9mm for a variety of valid reasons and many have not. In some places in the country cops are issued their sidearms and in some places they buy their own off the approved list (most common where I am). The Glock 22 is still the single most common police side arm in America and I suspect it will be for quite a while.
There are lots of .40 cal guns around and they will be in use for years and years, even if all the cops quit using them tomorrow (which has NOT happened and isn't going to happen).
Only you can decide if .40 cal is appropriate for your applications. I carry 9mm off duty.