Cool radio! I used to own one of them. Mine was missing the remote. It's a thing that looks like a telephone dial in a burlwood box. There is someone over on the Philco Phorum that makes a reproduction battery for the remote! Look around over here.
www.philcoradio.com/phpBB2/index.php
Regarding FM, they didnt have it. Being from 1939 It would be useless today even if it had it. Prewar FM stations were on a different band than is used today. I think it was down around 44mc.
Does It have a phono input on the back? If it does, you could fix that problem the way they did right after the FM band changed. Find an old tuner like a Pilot t-601 or a Meissner 8c and plug it in!
Here's an interesting site about early FM radios.
http://www.somerset.net/arm/fm_only.html
John