The OP asked a simple technical question which was whether he could thread a fork, if he wanted to (as he apparently does). Unfortunately it's become a debate about the superiority of one headset design vs. another, which is beside the point.

I have bikes with headsets of both designs, and functionally it's impossible to discern a qualitative difference. The ease of adjustment of the threadless system is nice, except that I've never had to readjust a threaded headset once setup in 40 years of riding. For my road bike I like the ease of adjusting the height of a quill stem, but there again once I've dialed in my position that doesn't ever change. I also used to prefer the classic look of the quill stem road machine but I've gotten used to the look of modern bikes and they don't look wrong any more.

In short, I can't think of any strong reason to discourage anyone from setting up his own bike the way he wants, so it's back to the simple technical issue and personal preference. If the OP wants to change his headset system, he shouldn't have to justify his reasons for doing so.