Threaded headsets served very well on road and street bikes for just about a century. But they ran into their design limitations with mtb, where headsets coming loose was a common problem.

Threadless headsets aren't better on that score, but they are more easily re-adjusted, needing only a 5mm hex key. The design alos paved the way for lighter and eventually aluminum and CF steerer tubes, so even at the same weight for the headset, the design made lighter bikes possible.

I rend to be retro and still prefer threaded headsets for trouble free road bikes, but use threadless for everything else.

In any case, unless you already own some high end retro parts, you don't have a choice, since all modern stuff is threadless except for the low end.