If you look at the Park site, the issue has nothing to do with the threads, but with a bowing, bending or curving of the axle as the quick release skewer is tightened. This has the effect of bringing the two cones very slightly together, thus forcing the balls more tightly into the hub races -- the hub, of course, being independent of the axle.

The role of the threads is in locking the cone and locknut together; in tightening the two together, the threads of the locknut "ride up" on the axle threads, thus creating an interference locking mechanism. It is the reason why the cone has to be held in one position while the locknut is tightening. If the cone is unchecked, the locknut will just keep turning on the threads along with the cone itself. At least, that is the way it has been explained to me.

As a side note, prior to my very first tour, as a very inexperienced bicycle mechanic, I fiddled with the cones on the rear wheel of my bike. Some 2,000km later, the cone and locknut wound together into the race of the hub and broke it neatly in half. I learned a lot from that experience about checking and double-checking pe-load and locknut tightness.