Thats what I did. I have trouble shooting 9mm Wolf out of the 9mm barrel. I read somewhere that the top of the feed lips on a .40 magazine need to be bent down a bit so the 9mm round will sit lower like the 40 cal rounds sit. I did bend my lips but haven't had the chance to test it out yet. But in short, YES, you can shoot 9mm out of an XD-40 with the conversion barrel.
Heres my Firedragon 9mm conversion barrel next to my XD-40