Here is the way to do it:
Answered with a tutorial: https://grabcad.com/tutorials/how-to-add-a-cosmetic-thread-to-this-part
MALLIAS, thanks for showing how it is done using a good shortcut method :)
Trinityscsp, obviously your method (which is the base standard method) doesn’t work for some strange reasons on this part for me (I am surprised that it has worked for you)! I am not sure how you got it work with this method!
...I used a third option…I converted the file to IGS and then back to SLDPRT, which solved the issue!
Anyway, thanks for your replies!