The Colt SMG has only been available in the 9mm configuration. The standard AR15 magazine well is too narrow to accomidate double stack .45acp magazines (such as the M3 Grease Gun). This has been successfully negotiated by Cavalry Arms out of Gilbert, AZ with their MK II lower reciever, that does accept the Grease Gun magazines.
Regarding the penetration issues, a 5.56mm round is safer than a 9mm round. IF the shooter does his part, the 5.56mm round will stop in
the target. If you miss, a 9mm will go through more walls (interior and exterior) than a 5.56mm will.
re: .357 magnum vs. .357 Sig, if you look up the loadings on any commercial ammunition manufacturer's web site, you will see that their performance
is identical. The only difference, is that you can use the Sig round in a standard autoloader, while the traditional .357 S&W Magnum will only work
in a Desert Eagle, a tad much for daily carry.