WAY more info about the (steel) material is needed, to know if it can, or cannot be threaded with a die.
If you truly are unable to determine from the purchase order the steel recipe and heat treat or mechanical worked condition of what //should// come in the box, the file test I suggested might provide a quick indication of the machine-ability.
If you bought a hardened 6 mm dowel pin it may be up over HRC 55, and a file will just skate over the surface.
If it is a piece of CRS cold rolled steel it will fill pretty easy, and the die with good craftsmanship could create decent threads on it.
Many possibilities lie in between.