Another benefit of threaded headsets is that thet stay adjusted when the bars are removed for travel, though threadless is better if you also need to drop the fork.

Other than aesthetics, my preference for threaded on road bikes, is that they allow me to tighten the stem race tight so the bars will twist in a crash, possibly saving the fork or front whee. Threadless stems set race tight tend to cause loose headset, though there is a workaround if you fit a clamp collar to preserve headset adjustment when the stem isn't tight enough to do the job.