I'm working on a design that will ultimately be submitted as the drawings for a patent we've applied for.
However, two of the parts require interrupted threads - one internal, one external. I've tried creating the cylinders, threading the OD and then removing the segments where no threads should be only to discover that's not possible.
Then I tried extruding the shape and applying the thread tool to the faces that should be threaded only to find out that since it's not a constant surface, SE2019 won't apply the threads.
If I'm understanding your needs correctly, you should only need to model the "relief" area for the "interrupt" in both the shaft & the hole, then applying the thread definition as normal to both zones - OR - you could model the thread form as a helical operation [add / subtract]. The only downside is, these types of real thread features can sometimes really tax your system performance.