I'm not an expert on the .40, but it sounds like a great setup. I load 10mm, and the Lee sizer die was recommended for that as well. Other brands of dies have more taper or lead in at the base, and the Lees get size down closer to the shell holder. I bough an RCBS 10mm/.40 set because they were available locally, and have had no trouble, but I'm not pushing the pressure limits either.
The ultimate sizer die for 10mm or .40 would be Redding's G-RX push through die which sizes the entire case.
http://www.midwayusa.com/viewProduct/?productNumber=231187I plan on adding a Redding competition seater die and use the RCBS crimp/seat die as a crimp only die. I haver them in other calibers and they are great, really boosted my accuracy in .45acp.
Most aftermarket barrels will have better case head support than the original, but Glock .40 barrels have improved quite a bit in that area. You will have to check you brass, but reloading the cases multiple times should not be a problem.
I suspect your dealer heard about the trouble with the early barrels and case head blow outs. The Glock .40's with poor case head support were serial numbers that started with 'E' or before.
I've been shooting a lot of Rainier plated .400" 165 grain flat point in my Glock 10mm with very good results. Berry's plated bullets also get good reviews. Magnus makes very good cast bullets at a good price and they don't gouge you on shipping.
For light loads I like Titegroup in just about any caliber, but maybe something slower like HS-6 for loads that approximate factory ammo.
One thing I remove from my Glocks is the extended mag release, it's just too easy for it to release if you bump your holster into something.