I would guess if comparing a 400gr bullet performance in both calibers that overall the .404J would perform better due to the better sectional density. But I'm not sure you could see that depending on the bullet you're using. Use any of the high weight retaining bullets we have available now and I'd guess you'd not see measurable difference. Sometimes more is just more and not necessarily better.
Sectional density is certainly a parameter that has value. But I think many people mistakenly think of this number as a static parameter. It is only static prior to impact with an object that will cause the bullets shape and weight to change. Once the bullet impacts an animal, sectional density becomes quite dynamic. With bullets of older technology the sectional density is going to drop both due to expansion and weight loss. With bullets like the TSX, A-Frame, GSC, Peregrine and North Fork, the sectional density drops due to expansion, but there is almost no drop in this number due to weight loss.
The point being that conventional wisdom regarding "typical" bullet weights such as 500gr for the .458's or 400gr for the .416's and .423 does not in my opinion apply anymore. The true beauty of these newer bullets is that you can go a bit lighter for at least the same if not better performance in comparison to older bullet design. By doing so you experience less recoil. Would I go overboard in the lighter bullet direction? No I wouldn't. I just wouldn't tie myself to thinking I must use a 400gr bullet in the .404J or a 500gr bullet in any of the .458's.