No, they do not. Only .40 and 10mm MP5's have that feature, and I've never heard of an "upgrade" for a 9mm, as there's no provision in the mags for a bolt catch. Someone correct me if I'm wrong on that, though.

Quoted: DoorKicker do the bw5's have a last round bolt hold open feature.

Mine dose not but I wish it did. IMO this is a major flaw in the original MP5 design and a tactical disadvantage.

I know that the newer HK models have incorperated this feature into the weapon.

I wish BW would have done the same.......

To make it work, you'd have to redesign the magazine, which would then "obsolete" jillions of existing HK and contract mags (not a good thing). This is the exact same issue with the Colt 9mm systems vs. every other 9mm clone AR. The Colt mags have a tang on the follower, which pushes up the bolt catch when the last round is chambered.  To facilitate the bolt catch, the Colt mags have a groove down the back "spine" of the mag. This is why Uzi mags will not fit in a standard Colt receiver and vice versa.

The HK mags would have to be redesigned with such a provision, so the "new" mags would not fit the old guns, or the old mags would not activate the bolt catch. Either way, with the UMP replacing the MP series guns pretty much, it's doubtful we'll ever see such a thing come to pass.