At three or four feet, even more, can a .357 go thru a bad guy and into someone? Very good chance it can if loaded to standard velocity.
And I'll ask yet again- have you ever heard of this happening in a real-world shooting?
Police for many years carried revolvers loaded with .357 Magnum, which is a higher-power round overall than the .357 Sig. Was overpenetration at short distances ever an issue?