Brad writes, "My wife and I applied for an extension of our B2 visa using the USCIS Form I-539. In the meantime, circumstances have changed and we need to travel back to our native country. Obviously, we now only have copies of our I-94. Can we depart the US without it? Will we have any problem if we ever come back? What is the implication of receiving an approval/rejection of the petition?"
You may want to write to the USCIS withdrawing your I539 petition because while an extension maybe worthless at this point, a rejection on your record does not look good. Hang on to the copy of the letter you write for withdrawal. In addition, hang on to your copy of the I94, boarding passes showing that you left the US (it is generally believed that the US is able to track who left the country using the data provided by the airlines but the system is not perfect and is full of errors), I539, and I797 and have them with you on your next trip to the US, though, most likely they will not be needed. Once the trip ends, if you want to keep visiting the US, just save these documents in your USA travel files because you never know when these might be needed.