Normally threads need to start outside the material because it rapids into the part as you have discovered. And also because starting a thread in the middle of the part would not allow anything to be screwed onto the part.
If you make the depth of cut smaller the rapid will not cause insert damage. You can run the rapid at 50% or 25% and the thread will work fine. Just the rapids back to start point will take longer.
You can program each pass with G92 or G32. That will give you more tool control but it will make the program very long.