If you create a hole feature using the hole tool and select a threaded hole, Creo will automatically generate a note based on the .hol file for the thread style you have selected. If you select the hole tool, but do not use the thread based portion of the tool, a note will not be generated. Why this is the case, I do not know, but this has been the norm since the hole tool was added to Wildfire.
If you want a counter-bored hole for a screw, you can use the threaded hole portion and select to remove the threads. This will set the hole to be a clear-hole for the thread size selected (once again, based off of the .hol file for the selected thread type). However, by default, the note for the threaded holes leave a lot to be desired. There are several threads already on the forums here that detail how you can expand the tables into something more useful (I recommend correcting the mistakes that exist in some of the diameters to start with).
Calling out Counter bores in Drawings.
Re: Dimensioning holes/creo2.0
Counterbore/Countersink hole Notes on Drawing.
Creo 2.0 Help Center on Hole Tables: http://support.ptc.com/cs/help/creo_hc/creo20_hc/index.jspx?id=hole_tables_about&action=show