PTC could make many upgrades to visual queues but they have chosen not to expand their core product in this vain.
I make my distinction by using a chamfer on the open ends of the hole the same size as the major thread diameter.
You can manually add your own texture to the thread surface, but I find that tedious.
one issue with my method is that in drawings, I don't get that hidden line font where the threads are.
In general, I still do old fashion drawings... where threads show up properly more often than you want.
For a quick reference, I just go to wireframe mode. That shows threads prominently.
You can always cut your threads 
Yet another Thread thread - UTS Implementation
I've been doing that a lot more lately now that I got some decent thread sections saved in the sketch palette.
The concerns aren't for drawings, they're for higher level assemblies utilizing many, many, many smaller assemblies. When we insert a purchased component (slide, linear bearing, gearbox, etc) the tapped holes show threads, the clearance holes do not. When we assemble sub-assemblies, or multiple sub-assemblies into higher level assemblies, it's really nice to visually know what's a tapped hole and what's a clearance hole without having to switch back and forth between wire frame and shaded. In fact we construct many things with massive main plates with dozens upon dozens (if not hundreds) of holes, tapped and clearance. When the sub-components are mounted it would be a nightmare to have to double check what's a tapped hole and what's a clearance hole. And trying to handle large assemblies in wire frame you might as well stare at a Spirograph drawing 
The impact to storage and part overhead with be hardly noticeable if you could do something as simple as control the mapped feature color of the inside of a tapped hole vs. a clearance hole (tapped holes bright red, clearance holes standard material color?). Same goes for external threads I'd imagine. Can't for a second think that we're the only company that would desire to know a hole is tapped while looking at something in a shaded view.... especially since Inventor and SolidWorks already are riding that bus 
Seriously, how hard would it be if you couldn't tell a hole was countersunk unless you switched to wire frame? Or tell an edge was chamfered or rounded without switching to wire frame? You can visually see if there's a minor interference between parts but impossible to visually tell a hole is tapped? Hmmmm, what's wrong with this picture? 
On the positive side (and this might sound minor until you experience it), but Autodesk Inventor actually uses MOUSE BUTTON UP as when they accept a selection. Pick a point when sketching and slide the mouse even the tiniest bit before the mouse button is completely UP and you select a point far away from where the mouse button was pressed down. DUH!!!! Thankfully Creo uses mouse button DOWN.... just like AutoCAD 
