HK may not recommend a .40/.357 conversion, but in my experience it works fine. I sometimes run a factory .357SIG conversion barrel in my USPc without issue. I also use my normal .40S&W magazines.
In addition to the USPc, the P2000 and P2000SK are also capable of this conversion. The USP (fullsize) however is not, and no factory USP in .357SIG has ever been offered.
Furthermore, for the P2000SK the .357SIG mags. are the only mags. that come factory with flat baseplates. The others (9mm and .40) both come with extended baseplates. The flat baseplates are actually kind of hard to get and preferred by many over the extended ones due to generally better concealment and a more comfortable grip.
If you truly want the extended plates, a P2000SK .40S&W baseplate will fit and function perfectly and although I have not tried it with the P2000SK, given my experience with the USPc, there is not a doubt in my mind that a P2000SK .40S&W magazine would also work in your gun.
Personally, I dislike the extended baseplates (they cause my fingers to bunch up on the grip) so I did a little modification on mine. I sanded down that annoying lip so my pinky finger sits over it instead of riding on top of it. Much more comfortable for me.