I think the way the cut would be finished would have a lot to do with the size of the cutting tool. I am guessing the tool would have to be a certain diameter and that size would determine the way the finish would be.
I tried with the change in the parameters of the helix as you recommned me but I still have a "wall" at the end (top) of the thread. I think it have to be with the sweep cut, but I don't know how to fix it.
What else can I do? I'll appreciate all of your help.
If you really need a nice looking thread try this:
https://forum.solidworks.com/message/356502#comment-356502