I have tried to recreate your issue. If it is acceptable to you, you can select your view's display style to 'shaded with edges', the section view will then show the cosmetic threads. Also, make sure that the 'shaded cosmetic threads' option is checked under Documents Properties > Detailing > Display Filter.
Did you try inserting them from insert model items? Since I have seen many reasons for why the threads do not display I would need to see your drawing and what version of SW you are using.