CATIA V5 does not show the threaded features defined with the Thread and Tap tool. Same with threaded Holes. Instead, there is a Thread Analysis tool (bottom menu) that will highlight threaded features and display the thread size. Also, drawings made from parts/assemblies with treaded features will show the thread symbols.
Graphically, threads are very complex shapes that require a lot of graphic resources to display. The CATIA developers choose to not display 3D threads to avoid impacting performance.
If you want to see the actual thread in the 3D model, you have to model it yourself. Use the Rib or Slot to sweep a thread profile along a Helix curve