i7-9700K is about as good as it gets for a gaming processor.
With a good cooler, you should be able to run around 5.0 on all 8 threads using the intel performance maximizer app.
https://www.tomshardware.com/reviews/intel-cpu-auto-overclock-performance-maximizer,6179.html
How sensitive your games are to cpu performance depends on the types of games you play.
Fast action shooters will depend most on your graphics card.
Most others like sims, mmo and strategy games will depend mostly on the performance of the single master thread.
How can you tell?
One back handed test would be to REDUCE the performance of your cpu and see if or how much it impacts your games.
in windows power management, limit the maximum cpu% to something like 70%.
Go to control panel/power options/change plan settings/change advanced power settings/processor power management/maximum processor state/ from 100% to perhaps 70%
This will simulate what a lack of cpu power will do.
Conversely what a 30% improvement in core speed might do.
The 9700K has 8 threads vs, 6 for your 9400f.
Most games, excepting multiplayer do not make EFFECTIVE use of more threads.
If you are multitasking while gaming, that is another matter.
Again, a back handed test, reduce the number of processing threads you have from 6 to 5 and see how you do.
You can do this in the windows msconfig boot advanced options option.
You will need to reboot for the change to take effect. Set the number of threads to less than you have.
This will tell you how sensitive your games are to the benefits of many threads.
If you see little difference, your game does not need all the threads you have.
Ultimately, worth is something only YOU can determine.