Threaded shank endmills are designed for use in Dormer or Clarkson autolock milling chucks. These chucks have special collets with threads to screw the cutter into, then the whole assembly gets clamped in the special chuck built for accepting these collets.
Dormer collets and Clarkson collets (and chucks) are not interchangeable, AFAIK, and I've got both, but they are 30 years old too
Threaded shank tools may have a slightly lower spec on the shank diameter and may be a bit loose in a set screw side lock holder. But, I have seen some of these tools manufactured with a weldon notch, so I suppose maybe those ones are closer to spec.
My advice: get the chucks and collets that match these tools if possible.
Oh: the advantage is that the tools are very secure in position once properly loaded into the chuck. The general method is to start the tool into the threaded collet, then assemble the collet into the chuck, bringing the nut up finger tight (or just a wee bit less) so that you can then screw the tool in (with a rag around the tool) til it bottoms. Then take the chuck wrench and give the nut the final cinching. This closes the collet and locks it into the chuck at one go.
I have seen some guys have difficulty using these chucks because they did not grasp the concept of how to load them.