I don't think there is any difference. The actual name of the model was the 939 Ultra Sidekick.
With H&R, the name 'Sidekick' usually meant a 2" or 4" barrel, while the standard length would be 6". That doesn't seem to be the case with the 939, as I think they all had 6" barrels.
Since the 939 has a 6" barrel, that is probably why it was given the name "Ultra Sidekick" and not just "Sidekick".