I have no idea where they are made and I can't find anything on M-Audio's website to indicate where. I generally assume that most electronic devices are made in Asia.
IEMs are a whole different experience than headphones. One could say that the best IEMs (of which I consider the IE-40 to be one) give you an intimacy with your music that I've not experienced with cans mainly because it's right inside your head. Of course, I have to admit I've never owned any high end cans, but I consider my Grado's first rate. I tend to enjoy IEMs for classical music especially and any kind of orchestral music including soundtracks and musicals. I tend to use my Grados for more popular type music - R&B, jazz, folk, etc.
Comfort is a huge issue at least with the Super.fi series (and the IE-40's which use the same buds as Super.fi's). Some folks never really get comfortable with the universal fit IEMs and I don't consider the Super.fi's or the IE-40s to be especially comfortable. As mentioned before, 2 hours about the limit that I can stand them in my ears. However, some IEMs are said to be more comfortable than others (although I don't like my V-Moda Vibes at all, they are a lot more comfortable to wear than the Super.fi's or the IE-40s). Others have no problem. It's really an individual thing. Personally, if I'm going to be listening for over 2 hours, I'll use my Grados.