If you look at both datasheets closely, Rogers 4359B might check more boxes for your design when it comes to high-speed performance. For instance, for the dielectric constant, less energy is stored and lost in the dielectric itself. The dissipation factor, copper peel strength, and a few other properties are about the same as Megtron 6.
One thing to know about Rogers is that the material is not made of glass cloth unlike most materials (see image).
Rogers is more uniform and smooth which means there is less loss and variations as the signal travels from the source to the load.
Regarding the price, Rogers would be about 3 times more expensive than Meg 6. Ask your fab house about your design requirements and see if you actually require Rogers.