I have a 357 SIG barrel for my SIG P229 in .40 S&W and I enjoy shooting the caliber. I would probably do so more often but for the cost of 357 SIG ammunition. When it comes to good SD ammo, the price differential between .40 S&W and 357 SIG is either small or non-existant, but for FMJ practice ammo the difference is considerable.
For the self-defense scenarios that I can imagine myself being in, I can't find any advantage to 357 SIG over .40 S&W. 357 SIG may deliver more kinetic energy, but I have yet to see any credible evidence that makes a substantial difference in wounding potential (assuming adequate penetration) in handgun calibers. .40 S&W expands to create a larger crush channel, although the instances in which that is going to make a difference in self-defense effectiveness are probably few and far between. I personally don't find that there is a great deal of difference in recoil management between the two calibers. Yes, the recoil characteristics are different, but I don't find that one is significantly easier to control or that I shoot one better than the other. I have never had a failure to feed any type of .40 S&W ammunition in my P229, so I don't find the more reliable feeding argument in favor of 357 SIG compelling.
Apart from the greater ammo expense, 357 SIG is definitely louder and creates more muzzle flash, and both of these characteristics might be considered detriments for SD in interior spaces or dark conditions. I will concede that 357 SIG shoots flattter over distance and has better barrier penetration. But greater barrier penetration might be detrimental as well, especially when it comes to home defense. And at realistic self-defense range, the ballistic drop is not going to be significant.