Dang, those 20" CX-9 wheels do look sharp.
I kind of dig how it retains an OE appearance.
No to the TSWs. Don't cheapen the appearance of your classy CUV with dark wheels. It is a played out appearance.
As for a +35et offset, I'll bet you'd be fine. Though, +35et w/ a 9" width is getting pretty aggressive. Not sure what the limits are on the CX-5, as it doesn't appear anybody has really attempted to have tested them.
Spacing the wheel face 15 MM from the hub really isn't much, especially on the CX-5, which places the face very far inside the body with the OE wheels, also has a rather large wheel well area and sits a good distance from the ground.
I think the bargain here would be the CX-9 wheels, assuming you can find a good pre-owned set. Otherwise, I like the first set. 8.5" is a good width and a better match with the +35et offset. You can accommodate a 245 series tire on an 8.5" wheel. No sense in going beyond that. You'll compromise the car's excellent efficiency, and possibly rub.
Are you open to rolling the fenders?