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There is nothing wrong, at all, with buying a .22 as a complement to a larger caliber. It's strictly economics; buying enough 9mm to practice enough to become and stay proficient, even though that's the cheapest "defense caliber", would cost a couple hundred dollars (1,000 rounds is the minimum, IMO, not only to break in the weapon but to become very familiar with its behavior, and 250-boxes of my favorite 9 round are about $50 apiece) Contrast that with $15 for 500 .22 rounds (Remington GBs). You can spend the day shooting an entire brick and not spend as much as a single dinner out.

In addition, the lighter recoil helps in training. A 9 will jump a bit; not as much as a .40 or .357, but enough. In trying to control it, you end up making mistakes on the shooter's wheel such as tightening your grip too much, flinching, jerking the trigger, etc. If you start with and keep coming back to a .22, those habits manifest themselves in the shot pattern of the .22 as the shooter's wheel predicts them, where the 9mm might just be inconsistent. That allows you to correct your technique, then you can go back to the 9mm and see a difference in tighter shot groupings and better control.

I have a Buckmark .22, and it's the most fun gun I own. My 12-gauge kicks like hell after the first few shots, and my 9, though fun, has a bit of flip to it and takes some patience and concentration to shoot really tight groupings. It's also a great way to introduce non-shooters to guns; not much kick, cheap, easy, and relatively quiet. Once they fire it the first time they largely get over the fear that the gun will somehow twist around and bite them.