I'm at the same version as you and I can not get the 39.7 update to work either (2019 2500). Nothing ever pops up after inserting the drive. I have tried multiple drives, various ways to stage the files. Nothing seems to work (truck started, truck not start but in run, waiting up to 5 minutes... nothing).
Did you ever get it to work
@MooneyFWD ?
I will also add that I have not gotten the over the air update that others seems to report, also if I check the uconnect website and enter my VIN, it says there are no updates available.