Yes, you can convert a H-Power in .40S&W to 9mm, but I doubt it is cheap, so you might just as well buy one of each, or stick to the classic 9mm for your Hi-Power and get .40S&W in a different pistol for variety's sake.
I've heard that a 9mm Hi-Power frame won't fit the .40S&W parts.
It has also been reported by some members here that the magazine of a .40S&W Hi-Power will hold more (can't remember how many more) than ten rounds of 9mm and will fit and function correctly in a 9mm Hi-Power. Possession of the .40@&W magazines isn't prohibited because they are ten-round magazines legal for the gun for which they are made and their use in a 9mm with more than ten rounds isn't illegal because the law isn't worded in a way that would make it illegal. I've never tried it because an extra couple rounds before changing magazines isn't important to me in a gun I will only use for target shooting on a range.