Not sure....all settings seem to be OK to me.
You might check in "Face Styles" that "Thread" the texture is pointing to the correct system image.
We have the same settings and no threads are visible.
When I render in Keyshot, the treads are visible.
Looks like you may have your Color Manager set to "Use Solid Edge Options color settings".
Try View tab -> Style -> Color Manager -> Use individual part styles -> Threaded cylinders = Thread
From the help docs: