Firstly, I love The 39 Steps. It is one of my favourite Hitchcock films. Heck, it's one of my favourite films, full stop. My wife and I rewatch it regularly. :)
And yes, I love the BDSM undercurrents. They are incredibly sexy, I quite agree. I would argue that Hitchcock did create great sexual chemistry with other leads in later films (particulary with Ingrid Bergman and Cary Grant in Notorious, and especially with Eva Marie Saint and Cary Grant in North by Northwest). But neither of those had the kinky undertones of this one, I agree.
Oh, and I'm a huge, huge fan of James Bond, including You Only Live Twice, which as you rightly say is so much fun. If you want to wade through my opinion on pretty much every James Bond film, check out this piece (ironically my most successful article ever on Medium, despite the length - you might need to read it in instalments). :)
https://medium.com/framerated/has-james-bond-finally-met-his-match-17b3e7ee9c6c