I've loaded thousands of .40S&W with Winchester primers and never had a misfire in my Glock 22. I haven't used the CCI ones, there has been some recent issues as well as two types floating around. Some CCI loaded ammo has specially marked primers with a small "A" on them which designates the good ones. Apparently some ammo didn't live up to spec for some LE rounds. I am not sure if component primers are affected by this at all? Best just avoid them until they get their issues sorted out.
For range use, you could probably live with a dud here and there, if your shooting competition you couldn't. Price is about the same for either primer. Depending on your use pick accordingly, I'd bet most reloaders are very specific with what works for them, some use CCI exclusively and haven't reported any problems. I've never heard of any recent issues with Winchester primers, they all perform as designed.