Question using "Hole Wizard" and "Subtract" function to create a thread

I used the hole wizard on a part to create a "M3 screw hole".

Then I created a shaft part in another file and using: Insert => Feature => Combine => Subtract

I tried to use the hole wizard "M3 screw hole" to create the "M3 thread" on the shaft...

After this I see that the shaft has been shaped to fit the "M3 screw hole" but I can not see the "M3 thread" on the shaft!!??

Yes, I went to the option to "Show thread", but it does not appear… I am thinking may be I can not use the "hole wizard (screw)" setting to do "Insert => Feature => Combine => Subtract" and create a thread on the other parts???

Please help!!

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