Actually, I do just that....and I find that I get better practice with my trigger control & aiming with the .22lr that translates well over to the full-power 9mm....plus it doesn't take a lot of rounds to "get used to" recoil.....so I'm not seeing a problem here....
There probably isn't much of a problem for an experienced shooter since you've already become accustomed to recoil and trigger control and repetition are more important. For newer shooters or those that don't shoot much it could cause some problems, especially if they are recoil sensitive. Also I know you can find a 9mm barrel for 357/40 Glocks but they don't catalog any for Sigs, at least the 239. They specifically say you can't use the 9mm barrel in a 357/40 Sig 239. I also couldn't find an aftermarket barrel, not saying they don't exist, I just couldn't find one on a web search.