Just to add my two pennies worth, I'm also experiencing the same (or very similar) problem with a drawing I inherited from a colleague so perhaps I can offer some more information.
The thread is not erased as when I hover over it, it will be highlighted. To be certain, if I then select the thread and *do* erase it I am no longer able to highlight it - I then unerase it by right clicking the view in the drawing tree and selecting unerase comsetic. For a split second I can actually see the thread in it's un-highlighted, un-selected colours but after that split second it disappears again.
The thread is also on a top level drawing i.e. it has no parent, it is assigned to a drawing layer and all layers are set as visible.
Creating another drawing with the same model and my default template *will* show the threads. To try and troubleshoot this I saved the drawing options (.dtl) from this drawing and loaded them into the problematic drawing and by doing so the threads did appear i.e. it seems to be controlled by the drawing options.
I have looked further into the drawing options to identify which, of those that are changing, could be relevent to cosmetic features showing e.g. "draw_cosms_in_area_xsec, remove_cosms_from_xsec", however changing these does not seem to have had any effect. To try and be sure, I then manually changed all the options of the problematic drawing to match those of the correct drawing but confusingly the threads still do not appear. It could be a regeneration/refresh issue however i.e. perhaps I am changing the option correctly and it is not refreshing in the drawing but as I seem to struggle to force ProE to actually refresh sometimes I can never be sure.
In summary, I am at a loss as to what is causing this behaviour. It is affected by loading a different drawing options file, but I cannot identify which specific option it is.