I think the previous posts are accurate, but do not necessarily detail how to fix your problem.
In order to show the thread using one feature, it will need to be a cut. It seems you have created it as a solid/boss. In order to transition it properly, create an extrusion or revolution at the desired point to cut the threaded portion. This may involve extending the threaded portion above where it is currently placed and cut it.
I hope this has been helpful.
Fegenbush