You need to return it and get the proper mag. I wouldn't take a chance on what a salesman at Cabelas tells me. Call Sig and see what they say. I would bet $10 they say you need the correct magazine.
If the mag is stamped .40 and the package says 9mm, it sounds like a screw-up at the factory. Sig may even be willing to send you a free mag, since it is their fault and not Cabelas.