39s don't currently get games, though a number of players built 39s. For many classes, BiS gear comes from Mythic Siege of Orgrimmar, so going to 39 won't change that. The other slots use BoEs that will bring very slightly better stats at 39. By far the most important question is whether you gain any important abilities between 35 and 39.
I leveled my 35 to 39 because I gained Purge at 39, and while I have nostalgia for my MoP 35, I'd rather represent that with my cloak and go full BiS at 39. Others stayed 35 and really haven't lost much for it, maybe the equivalent of one consumable.