You'll want to buy a variety of brands and loads for a few different reasons.
1. Your gun likely requires some break in. Magazines, feed ramps, all can/could induce hiccups during the first few hundred rounds of a new gun. Don't get too worked up if you have a failure to feed or failure to eject during the first 250 rounds through a gun, especially with cheaper FMJ range ammo.
2. Some ammo just doesn't work well even in a broke in gun. This can include premium defensive ammo. That's why it's important to spend the money and verify that your ammo works in your gun, through every magazine you have for that gun.
3. Accuracy - My carry gun shoots tighter groups with 124 gr HST vs 147 gr HST.
For personal protection, there are lots of proven loads - Federal HST and Speer Gold Dot are my go-to's. There are others that are effective as well; tons and tons of defensive ammo reviews available from reputable gun writers and youtubers. Lucky Gunner has some penetration tests for all of the popular 9mm defensive loads. (and other calibers as well.) It's a good reference to bookmark.