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I find that most of the components I download STEP files for with threaded surfaces cause this issue. The small surfaces in the model are being ignored, either in the import or by the vendor's export features.
It's possible to correct the part, i.e. "Edit Definition" select the Medical Symbol " Enter IDD editing Environment", and then use the tools CREO provides to extend and trim, create, etc. The tools, however, aren't diverse enough to truly correct a part.
In those cases, I generally would tell you to either create the model solid, using the STEP import surfaces as references (or not) and then hide the original geometry (or delete/suppress) OR just move on and live with it.
Examples that cause this: Threaded couplers, pipe fittings etc. They woudl import as a solid were the threads not physically modeled. McMaster's CAD files provided by their vendors commonly do this.
Examples that don't have this problem: SMC's air fittings typically do not model actual threads, but only show the cylinder that would be threaded. So these files import as solids.