Why no threaded headset cups?
The cranks are always spun in the same direction and the threads are located so the cups don't get loose. 

The headset does not have a direction where the spinning is happening and it is not possible to have self-tighning cups. 

Also fork gives vertical load, directed into the threads. Also there is a big frontal load on the fork which will be transferred into single directional side-load on a thread. A thread can cope with each of these factors separately, but both of these, combined with constant vibrating, will eventually cause the thread to fail, especially in aluminium frame.