There is a EULA on both 3.5 and 3.9 (in the license directory on the CD - it's an AmigaGuide file)
It says you are allowed to install and use the software on "one single Amiga-labelled or Amiga-licensed computer at a time", also that you must not distribute it across a network, use it in a nuclear power station, air traffic control situation, etc...
Anyone using AmigaOS 3.5 or 3.9 under emulation (eg. on a PC, Mac, or Pegasos), is breaking the EULA, UNLESS they are using it on an AmigaOne running linux (as this is an Amiga-licensed computer) or they are using the OS 3.9 that came with Amithlon / AmigaOS XL (as this version has a modified EULA to allow use on non-Amiga branded computers).
So, if you are running UAE, and want to keep Bill McEwen happy, you would be well advised to stick to WB3.1.
Or, you could just ignore him.
Personally I'll carry on using AmigaOS 3.9 on my Mac running MaxUAE, and maybe my Pegasos too when I get around to it.
I paid for the damn OS and I'm gonna use it.