Display thread surface in shading

Yes it is possible to show threads when shading a model. You have left out some relevant information I think. Are you working with cosmetic thread surfaces or actual solid geometry representing the threads? Cosmetic threads are not solid geometry and would not show along with solids in the model when shaded. You can try enabling the show surfaces with shading option in the model display controls under options.

None of this may be relevant to your situation as I am speculating due to the lack of information available regarding your issue.

Fundamentally, no, this is not possible with Creo.  For that you would need some other cad software.

For example, these are from Inventor:

Here's a product idea requesting this functionality be added to Creo: 

https://community.ptc.com/t5/Creo-Parametric-Ideas/Enhance-Thread-holes-and-outer-thread-appearance-in-the-model/idi-p/464129