Threads on the cylindrical surface cannot be cut. Use Extrude Thrad instead.
2 Answers
You are trying to cut M5x0.8 on 6 diametr. Is it really what you want?
Explore the sketch with which the thread is cut / extruded, you will see that the vertices are different (as in theory). Try to extrude / cut this sketch along the path yourself and you will see the difference.
My advice - use hole wizard, real thread profile badly looks on drawings and complicates CAM modeling.
what is the purpose of modeling a thread, especially the usual metric?