There seems to be shortages of ammo in this caliber..
There's a more or less perpetual "shortage" of .41Mag ammo because it's a slow-selling boutique item and most stores prefer to stock items that sell faster, even if the profit margin is lower.
I can't find the ammo in my local Walmart or Academy.
...and you probably won't in the future either. See above. To emphasize what's largely already been written, factory ammo in this caliber is hard to find and expensive.
In addition, AFAIK all recent-production loads are designed to take full advantage of the potential of the caliber, which is another way of saying that they have
WHOA HOLY SMOKES!!! levels of recoil, noise, and muzzle flash.
This is significant because, unlike almost every other commonplace Magnum revolver cartridge, .41Mag is NOT based on a lower-powered "legacy" cartridge that can be used for low-recoil practice (e.g. .38Spl to .357Mag or .44Spl to .44Mag). Reduced-power .41Mag loads have been offered in the past, but AFAIK no widely-distributed mainstream ammo company offers them today.
IMHO if you want to shoot .41Mag and have fun doing it, you must enjoy handloading. Note that I don't say "be able to handload"; I say "enjoy it" because it's essentially a requirement here.