That same effect should happen witih .40 and .45 as well.
While I don't have first hand experience of wounds caused by pistol rounds, research shows that 9, .40, and .45 are all similar in penetration and wounding effects; they all only damage what they physically touch. You'd need a much higher velocity round to create a large permanent wound cavity.
As has been stated over and over, what matters is shot placement when talking about pistol calibers. I'd rather have lower recoil and more rounds in the magazine for quicker follow up shots, which is why I like 9mm.
+1. That's the bottom line. Shot placement is what matters. But if you can do it with a bigger hole that helps..