I have about 15k on my 21s and 30k on 19s. 21s definitely feel better cornering than the 19s even with the same tires. I put Michelin AS4 on my 19s a year ago and used those in the snow quite a bit for Seattle standards with no problems at all.
My 21s are staggered, so no rotation at all. And, honestly, I have never rotated the 19s either.
Sorry to reply to an older thread, but in case anybody else is interested...
We have had two Model S, and both at various times had 21" and 19" wheels. We are in the Seattle area.
I agree with rpo that 21s corner better. They also look better, IMO.
The taller tires on a 19 are better for pushing through snow, and protecting against cracked rims (although the only rim I've ever cracked was an 18" on my Model 3). And they are cheaper.
Some say the 21s are grippier and the 19s are a little smoother and quieter, but I suspect that is more a function of the tires that you put on them. Frankly, I don't find any of these differences to be huge - I can tell they are different when I drive back-to-back after a wheel swap, but I don't really notice when I'm not looking for it.
We generally rotate twice a year - when we switch from summer to winter tires, and back. This isn't such a bad area for all-season tires, but given that you are going to wear the through the tires anyway, having two sets really only costs extra for the wheels. And then you have better grip in summer AND in winter. And plus you have an extra set of tires just in case...
I just got as new S with 21s, and kept my old 21s from the prior S that were purchased secondhand and will be putting the Sottozero 21" winter tires on them in a month or so. I've never had a bent rim or damaged tire, but am pretty careful to never hit pot holes.