It's a simple error with the CAD model; the thread Vee section has been sketched such that it starts the helical cut a little way after the end of the part.
I've personally struggled to assemble a rogue screw exactly like the original illustration – i.e. with a series of grooves in it – before I realised and flung it into the deepest recesses of the workshop with a bellow of rage!.
Unless you really need to 3D print the threads in, I wouldn't bother. Why can't you use a real screw? We often produced 3D parts at work with tapping-sized holes in and tapped them out to fit later. We certainly never 3D printed fasteners unless they were an obtainable special.
As David Jupp says, the processing power needed to create true 3D threads is huge. You'd probably take as long doing it on the CAD as you would tapping out a plain hole!
Edited By Nigel Bennett on 04/10/2017 10:49:18