You need to have your view set to display textures [I would've expected this to be ON by default], as threads are graphical only, not physical geometry. [you'd need to model helical cut, or protrusion, of the thread form to model them]
On View tab, on the style pallet.....seslect View Overrides, and check the box for Textures.....
Design Manager Streetscape Limited
Solid Edge ST9 [MP3] Classic [x2 seats]