Cosmetic threads are a Weakness of Solidworks they never worked good if your part/drawing is a bit more complex. Solidworks was never able to show threads like we have to (SN EN ISO 6410-1).
(Its IMHO the most annoying function in Solidworks)
In Your case maybe the thread is hidden?
If I'm not mistaken, SW will not automatically show cosmetic threads in drawings of assemblies. This is on purpose.
You must tell SW you want to insert the cosmetic threads either drawing-wide or on a per view basis.
Imagine if you had a huge machine drawing with hundreds of threads all showing up at once.
Quite messy and time consuming!
I would somehow perceive SW does not always show cosmetic treads at the part.
But it does not show them on drawings too. An this is serious problem.
I am mostly use Inventor and see hundreds of threads on big assemblies
and really happy because this is actual machine looks like.
I wish I would not miss a threaded connection and will sleep better when I would
proceed my drawings to manufacturing.
Yeah, Inventor handles threads loads better than SW & its a shame that SW hole 'Wizard' isnt a patch on Inventors.
Still could be worse, you could be using NX, spotting a threaded hole in that can be very challenging.
I have had issues where I show the cosmetic threads in the part file and when I place the part in a drawing they do not show up. I have also had it where I tell it to show the cosmetic threads in a part and they don't even show up in the part file properly. I attached a pic of his happening on a part.