But that's not how handgun rounds work...
Handgun rounds have neither the energy or velocity, to make secondary wounding due to energy tranfer, a significant effect on target.
It's not about energy transfer, it's about retaining energy enough to reliably penetrate.
+p adds about 50fps, +p+ MAY give another 50fps... and while they have a little more expansion (think 0.1-0.2 inch more), they have less penetration as a result. Most tests I see put the higher pressure stuff around 12-13in and the standard pressure at 15-16in deep.
Heavier rounds offer more consistent performance in varying conditions. As I said... it's not about energy transfer, it's about retaining energy enough to reliably penetrate. The added momentum and inertia (not energy) of heavier rounds helps the projectile retain energy and velocity while penetrating and therefore penetrate deeply with more consistency.
"But even the lighter 40 weighs more than the heaviest 9mm"...
Yes, and it has a greater frontal surface area, and that adds resistance to the bullet as it penetrates, so you need more mass to compensate.
124gr and 147gr 9mm are very close in performance with most modern bullet designs, while the 115gr stuff tends to be less consistent. (The barnes all copper round is one exception to the rule) The 147gr looses enough velocity to make the difference less noticeable. Though the 147gr will have a bit of an edge. (I personally like the recoil characteristics of the 124gr better)