In my airline we set the initial planned cruise altitude into the FMC and to the overhead pressurisation panel always. When a further climb or step climb is carried out, the FMC and overhead panel are reset to the new Flight Level.
With regard to the pressurisation system, there's an Off Schedule Descent mode fitted. If the aircraft begins a descent before reaching the cruise altitude that is set to the overhead pressurisation panel (actually greater than 1000ft before reaching cruise) it will trigger the off schedule descent mode. Which is an Off Schedule Descent warning (with Master Caution) and the auto controller will return the cabin altitude to the altitude of the departure airfield minus 300ft. This is designed for a turnback in the departure phase.
So with that in mind it's best to set the planned level to the overhead panel, as if a higher level was set and due to ATC a climb to that higher level isn't possible an off schedule descent will occur at the end of cruise phase. If departing from a sea level airfield and flying to a destination that is 1800ft high, the off schedule descent mode will return the cabin altitude to -300ft, whereas you'll be landing at 1800ft. Off course the QRH should be consulted and would reset the system but why put yourself in that situation in the first place.
The planned cruise level is always set into the FMC and reset later when further climbs are approved by ATC. If a higher level is set (ie. final cruise level) at the preflight stage. The aircraft will always climb to the level set into the MCP
window and the FMC will then remain in the climb phase until it reaches the level set. Using your example, if FL390 was set into the FMC and for performance reasons only FL350 was possible, on reaching FL350 the aircraft will level off to 35,000 as set to the MCP
and the FMC will remain in the climb phase. Therefore the FMA on the PFD's will show Altitude Hold and the speed window on the MCP
will be open at the current Mach Number. Sure the aircraft will fly all day like this, however that's not the way it's intended to be operated.
Occasionally we depart with a planned FL
of say FL380 and due to traffic, ATC can only give us FL360. No problem reset the FMC and the Overhead Panel to FL360 and continue climbing, sit back and have a coffee.
Hope that helps.