3.5mm and SMA are mechanically compatible. The difference lies that 3.5mm uses air as dielectric material (or no dielectric material), so the operating frequency is higher than SMA. SMA has PVC like material as core, the mechanical stability is better than 3.5mm
3.5mm and SMA may be mechanically compatible, but for very precise measurements, connecting them results a small but measurable discontinuity.
A damaged or out of spec SMA connector can damage a 3.5mm (or 2.92mm) connector. Their air dielectric construction makes them fragile.
Good to know, with SMA's connectors the pin engages first and the threads second, when the 3.5mm (and 2.92mm) are the opposite,the threads mate first, pins second.