I am still on 2015 but I didn't think you could get a callout on a Cosmetic thread - just a real thread.
Were you able to get it in 2016?
Did you previously (at some time) modify your callouts?
The file that controls the hole wizard callouts is "calloutformat.txt"
If it hasn't been moved it should be in C:\Program Files\Solidworks Corp\ Solidworks\lang\english
If you had previously been using callouts that you had customized in the past but did not move the file to another location it would have been overwritten when you upgraded.
If you did have your file located in a different then default location, then it could still be there but your new installation is no longer pointing to it.
Search you system for all the files with that name and if you have one modified for you, change your options settings to point to that.
(and make a backup of it just in case).
I have not used cosmetic thread callouts very much because I couldn't get it to work. I figured it was time to understand why it's not working and get it sorted.
Could I do it in 2016? Not really, but again, I didn't use it much.
I am familiar with the calloutformat.txt file. I have created a custom file for our office that we use daily for Hole Wizard created features.
It is located correctly and works fine.
My issue is this - If I create a cosmetic thread, I believe a thread callout on the print should be linked parametrically to the ANSI inch thread I specified in the model. If it is not possible, that's unfortunate but acceptable. I just don't know if it's a thing or not. If I have to manually type it in for each thread I create, I'll just use a note on the drawing and save myself the time of creating the cos. thread in the first place.
Make sure the Tools > Options > File Locations list is pointing to the correct location.
Are you referring to internal cosmetic threads created with hole wizard or external threads?