Can these high frequency sounds, when part of music or film, add to the psychological impact of the sound?
It's been claimed they can, but the experiments have not been replicated so most people here consider these claims to be fishy at best.
Are there harmonics in playback that present themselves in these high frequency ranges?
Mostly no. They can exist but the recording and studio engineers need to go out of their way to capture and preserve them. Studio gear isn't usually designed to work beyond 20khz, and since the engineers can't hear that stuff anyway, what you get is what you get. (many times "hi-res" recordings only have noise or artifacts above 20khz)
For the same reasons, musical instruments don't produce a ton of energy in those frequencies either.
Is the ability of a speaker to play up to 35 kHz useful or just marketing?
Depends on how you look at it. A speaker with ultrasonic breakup modes means lower distortion and better directivity in the audible band.
A speaker that does ultrasonic content without a known benefit to audible content is just marketing.
Overall, look at it this way. Take a look at the Fletcher Munson curve and see how the SPL required to hear 20khz shoots up towards the end.
Consider how that line will continue on its upward trajectory with higher frequency, even if you are superhumanly capable of hearing that high.
Then consider the fact that ultrasonic frequencies in music are already naturally much lower in amplitude than lower ones. You would need the ultrasound to be louder than the normal sound just to hear it, but it's much quieter in practice, when it even exists.
So even if there was somehow no upper limit on your hearing, you are still less sensitive up there, and the content is much quieter. Due to masking, You wouldn't really hear much of anything (or anything at all) even if your hearing did technically extend up to 35khz... Which it doesn't.