I own a Walther P99 (all German) in .40. I like the gun one heck of a lot. Yes, .40 is more to handle, but this is my primary home self defense gun so I'll live with a bit more kick. I do not find the extra recoil, muzzle flip, or the commonly and accurately used adjective, "snappiness", to be objectionable. I think that if you go into owing a gun in .40 understanding that and accepting that to be the case, you will end up better off. But, as a first gun I'd recommend the 9mm only because it is easier to handle. On the other hand, if a .40 is all that you know, and you train with it, you will more than likely get used to it as it will be what you know.
That said, I plan to acquire a P99 Compact and it will be a 9mm. I think that 9mm will be much better for a compact and it will round out my collection with the .40 and my .45 Smith SW99. If either Walther or Smith ever came out with a .45 compact I'd be one happy camper, but Smith is done with the whole line and Walther has no interest in the .45. Too bad.