Everytime you pull that trigger, you're taking a risk of this happening. Factory or reloads, it happens. Granted, your odds of this happening are reduced by using factory loaded ammo. Some of the cases profiled on Gunzone stem from Glock 40s with factory loaded Hydrashok ammuniton, one of Federal's premium marques. Culprit turned out to that the brass of early .40 ammunition was rather thin in the area of the case head. Couple that with rather generous throating and you've got a problem.
I know a guy at the range I'm a member of who reloads .40s. He's a high volume shooter. Has been for 20 years. He's been reloading .40s since a couple years after the caliber was introduced. Never once had a problem in probably 100k rounds (or more if you consider his previous love affair with 9mm). He's very careful in his reloading and allows no distractions. His favorite guns are XDs. If you're careful, you've got about as much chances of blowing up your gun with reloads as you have with factory. Trouble with reloading is that lots of careless people try it, it's got a steep learning curve, and is quite unforgiving of mistakes.