Sorry, but I'm not buyin' the "cool down" theory.
No pistol that shoots a couple of mags can possibly end up hot enough to affect feeding.
If the R-9 were truly that sensitive, I'd get rid of mine.
Unless there is some really nasty bad machining that passed QC, an ejection problem should come down to either the spring or the ejector itself.
Yes, it could be the ammo, but Gold Dots have worked well for most of us in our R-9's.
My first thought would be to change out the spring just for grins to see if that made any difference at all.
Then if it still hangs up, you want to look at the ejector for hanging up or being bent.
However, I don't think I'd go beyond just trying a different spring because once I'd gone that far with a brand new pistol, I'd send it back and let the people who made it figure it out.
The R-9 has turned out to be a helluva dependable pistol with only an occasional flawed example. But like any manufactured product, there are bound to be some examples that fall through the cracks of manufacturing. Be glad it's not made by Toyota, a company that has for the longest time been held synonomous with "top quality" in auto manufacturing.
My R-9 ran great from the get-go and I wouldn't give it up for anything. But if you get one that isn't right, don't be afraid to send it back for some extra personal lovin' by Rohrbaugh.