Found this on Wikipedia...

Heckler & Koch does not authorize caliber conversions, but a separate barrel for a .357 Sig or .40 S&W can be purchased from HK, or from companies like Midway USA or Jarvis, Inc. EFK Fire Dragon, an Arizona based pistol accessories company produces conversion barrels for both Full Size and Compact USP models. These conversion barrels can convert a .40 S&W to .357 Sig, and vice versa. They also manufacture 9mm conversion barrels. These 9mm conversion barrels can convert a 40/357Sig to a 9mm, but not a 9mm to a .40/.357 Sig. Also, a more powerful recoil spring may be need for a .357 Sig conversion as the .357 Sig operates at a higher PSI. Heckler & Koch currently does not make the Full Size USP in .357 Sig, making the .357 Sig conversion for the Full Size .40 S&W a highly desirable addition.

Nevremind

I can't speak for H&K equipment but do have a 40 to 9 conversion by Storm Lake for my M&P40.

So far I have experienced one FTE per hundred rounds fired. The first two were light loads.

I have only fired 300 to date. All FTE's were with Winchester brass. I have fired around 150 in Remington brass without failure. Brass may be critical as the extractor has no backup on the far side of the case to hold the case in the claw. The slot in the breech face normaly provides a surface opposite to the extractor which prevents the case from shifting left and falling free of the extractor. Given that .40 Cal is .045" larger than 9MM it is impossible to grip the 9MM case in the normal manner with a .40 cal slide.

If you expect 100% reliability don't buy a conversion unless it includes a new slide and barrel.

If as with myself you want a little lower cost practice and don't mind an occasional trouble drill thrown in get a barrel.

Just remember the extracter design will impact how frequently it fails. Not all are created equal.

Good luck and enjoy.