The 18" setup does have more sidewall and so should indeed offer a bit more cushioning from bumps, ice chunks, potholes, etc.
I didn't understand the question at the end of your paragraph. Are you asking whether or not there are 18" snow tires with more sidewall? If so - then yes, there are, and probably in whatever width you want. But I agree with what gthal has said above. The tires you have are only slightly small in diameter than the 19" OEM summer setup you have. Certainly the difference is not enough to cause a noticeable decrease in ride height. Remember, the second dimension in the tire size - the "35" or "40 in this case - is an aspect ratio. It's not a measurement itself, but is instead a percentage of the width of the tire. When you do the math you'll see the your winter tires are just the right size.
If your car feels different, its probably just because the of the differences in the winter setup. I have an OEM-sized 18" setup on mine, and I run OEM 18" in the summer as well. Even though the tires are identical in size, and in fact they are from the exact same manufacture (Michelin PS2 and Michelin PA2), the car still feels very different with the different setups installed.
Originally Posted by llis
235/255 is the Tire Rack recommendation for snows. This is the big frustration. The *only* reason I went with 18s was because of the perception that 19s won't be able to handle road hazards as well. But I suspect this 18" setup has no more protection. Are there no higher profile tires without going so wide they're essentially worthless on snow?