That reloading data warning applies to auto pistol models that use a partially cutaway feed ramp that is part of the cartridge chamber. The cutaway part of the chamber leaves the base of the cartridge unsupported, and thus, weaker.
Most of the popular pistols chambering the .40 S&W (Colt M1911, S&W, Browning HP, and several others) fit this description. Most single-shot pistols do not.
The reason is that the .40 S&W can be a relatively hot number when handloaded, and the unsupported case has been know to rupture, ruining the magazine and jamming the gun.