I've noticed recently that a lot of American sources, rating the 35W CMH lamps as 39W (Aka 35/39W instead of just 35W).
Why this is happening?

Because even on European "35W" ballasts many lamps are rated to run actually at 39W and not (corresponding to the ballast label) 35W.
The thing is, in Europe majority of the ballasts are series choke reactor, which are actually able to support both wattages. Because so simple, it has inherently low losses, so not much arguments to go for anything more advanced and so more expensive.
In the US these lamps would need a HX, which is way more lossy (than the series reactor in Europe) and that would eat away a lot from the efficacy benefit with these lamps. So way bigger percentage is installed as electronic ballasts. And because with electronic it is quite easy to implement real constant output power characteristic, the difference between 35W and 39W ratings become quite significant.

The reason why may lamps are designed as 39W is, the makers became able to control the arc co well, they may start with more efficient (the lamp, but even the ballast - losses correspond to 35W, but transferred power is 39W) higher arc voltage. The consequence of this elevated power is then the higher power input when operating on the same ballast. Because makers want to maintain ballast compatibility (to allow use with standard "35W MH" fixtures), the only way to accomodate the higher arc voltage is move to the higher power level (39 instead of 35W).