Is delivering baby at 35wks+3days considered high risk for future pregnancies? No issues with baby at all and no reason as to why early labour.

Yes. Any preterm delivery, even a late preterm as you had, is a risk factor for future pregnancies. I would discuss with a maternal-fetal medicine specialist prior to next conception to talk about what should be followed (things like cervical length, etc) to prevent an even earlier preterm birth.