I. too, am a huge fan of Sig. Having said that, I had a P9, which is only slightly larger than the PM 9. It was a nice gun, but i could never really get used to the trigger, its a real smooth DA pull, but if you shoot other guns as well, you might find yourself re lerning the Kahr trigger every time you go back to it.
I have never shot a p250, so I wont comment on its performance, but I'm not a fan of the idea behind the modular design. If you want 2 different guns, just buy them! don't pay for a gun and a half... then have one complete gun and a pile of parts to convert over to another. Besides that, they're really thick.
I have shot the p239 quite a bit, and it is a really nice gun!! it has all the features of the classic Sig DA/SA that you are used to, but if you really look at it next to, say a 229 or 228, it is a little shorter in muzzle and grip, but is quite a bit thinner, in addition to having a slide stop and decocker that are sit closer to the body of the frame. It makes for a much thinner concealment option over other Sigs.
As far as weight goes, it is almost twice the wieght of the PM9, but the 2 guns are really an apples and oranges comparison. My P9 was always a breeze to carry, but I think you'll find that with a suitable carry rig(holster and belt), the weight difference will become a non issue when you're accompanied by a gun that you are confident and accurate with.