There's no reason to transfer them anywhere and limit your future options, unless you (i) believe Amex will never again offer a 40% bonus and (ii) are happy to be restricted to BA or VS.

The flexibility of Membership Rewards points (they can be transferred into all three alliances as well as to a few non-aligned carriers) means that anyone who can should keep some in reserve.

Obviously everyone's circumstances are different, but a stash of MR points is a key part of my 'insurance'. They almost always make it possible to book intercontinental flights at short notice (e.g. in the event of a family emergency) without shelling out thousands.