Installing a door threshold on concrete slab
Even when swept clean I would not consider that a properly prepared surface for a threshold. Just the nature of the uneven surface of those filled concrete blocks would make water tend to collect underneath. You should use a concrete patch/resurfacer to create a smooth level (or slightly sloped away from the opening) surface, then attach the threshold per manufacturer's instructions. All the retrofit thresholds I have seen or installed need to be screwed down, yours included. You will need to mark and drill into the concrete and use an anchor to screw it down.