The reason they do a different slide is besides the barrel the extractor should be different as well. SIG also uses different height sights for 40SW as opposed to 9mm. This means your point of impact may not match your point of aim in using your current sights with the 9mm barrel. Also the barrel dimensions on your 40SW barrel are different than those for 9mm. That means you need a specific 40SW to 9mm conversion barrel rather than just a standard 9mm barrel (a number of aftermarket companies do offer those). And lastly you need a different recoil spring to go with the different caliber.
While the extra slide in the kit is an extra cost, it saves you having to swap over sights, extractor, and recoil spring every time you change calibers. By the time you add all that together separately I'm not sure you're saving much over the kit.
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