cyccommute 

The problem is that you can't get the locknut/bearing cup of a threaded headset tight enough to withstand off-road pounding on a mountain bike. It has a lot to do with the orientation of the fork. While a bottom bracket and a hub use a similar method of keeping the bearings in place, they aren't subjected to a vertical force on the shaft. On a fork, however, the forces that come up through the headset can cause a momentary slacking of preload on a threaded headset. This isn't much of a problem with road bikes but mountain bike experience far more momentary upward force during impacts, drops, jumps, etc. The bearing has to be loose enough to move which means that there is always a possibility of movement of the nut relative to the race. If even a small amount of movement occurs, the lower race can then be damaged which causes more chance of loosening. And, in my experience, it doesn't take too much to loosen a headset in off-road conditions.

And, once loosened, a threaded headset is very difficult to fix in the field. Carrying 2 headset wrenches with you to tighten a headset that has loosened due to impact is almost impossible and not very practical. Cooltool made a spanner that worked with their tool that you could use to tighten the nut to get yourself out of the woods but it wasn't that useful due to the nature of the part...you need two wrenches, not just one.

The reason that the shaft locks...that's all the locking mechanisms I've linked to above are...solved the loosening issue is that they make the movement of the top nut more difficult relative to the race. Threadless solved that issue quite nicely as well. The shaft of the steer tube is locked in place and really can't move relative to the bearing race.