I bought a sporterized Krag years ago and have never shot factory ammo through it. I bought a set of dies and a bag of new brass when I got it. Same thing goes for my 41 magnum Blackhawk.
I bought 41 Mag. brass years ago given the ammo expense, and thinking I'd perhaps see major manufacturers drop the cartridge. Hasn't happened yet, and appears now that it might not happen in my lifetime at least. But I love that round, so I can definitely relate to the thought of better safe than sorry.
I'll keep an eye open for anything .30/40 Krag related, and will post it here for you Krag folks if I come across something.