I also have the M500's and love 'em. For the "buck & a half" I paid...can't find any faults. I think the main differences between them and the M400 is the machined aluminum head band and ear pieces, looks to be the same speaker bits.
And KEF USA treated me awfully nice too. I had bought R500, R200c and the M500 shortly before their "12 Days of Christmas" thing started, and the R100 pair during that. Because I bought the R100 on that special deal but through my dealer, the dealer couldn't find a way to order me the free coffee table book they offered (valued at $89) for spending $500 or more during the sale. An e-mail off to KEF, they considered all my business from a local retailer (they get credit for local buys even through KEF Direct) and shipped me the book. They also threw in the Atmos 9/15 demo disk and a couple other goodies for both me and my son (who has recently bought Q300 pair, and I bought him a Q200c.) He just ordered a pair of Q800ds through KEF's preferred B-stock seller here, Accessories4Less. KEF loves us, methinks.