Why does anode rod need to have metal thread contact?
The anode rod must be electrically in contact with the steel of the inner tank. Only this will confer sacrificial protection of the steel tank. The statement in the instructions is correct. See sacrificial metal. Google "sacrificial protection".

Even though you used dope and teflon tape you may well have electrical contact through the threads because the threads cut through the dope and tape. To check you would check the electrical resistance between the end of the anode rod and the fitting the rod threads into. You should get close to zero resistance (zero ohms).

If the measured resistance is not close to zero, you could perhaps just tighten the rod more and achieve metal-to-metal contact. I am sure you don't want to overtighten because you might be thinking of replacing this rod later, but you must achieve metal to metal contact for rod to do its job.

Also, overtightening could damage the tank. It could be that the threads of the anode rod must be only lightly coated with pipe dope for metal-to-metal contact to occur. You will just have to determine what you have.

EDIT
Glad to hear you got 0.1 ohm. I just went out and measured the resistance across the threaded brass joint on one of my outside faucets (warm climate tract house with faucet supply coming out of the soil) and got 0.1 ohm. I installed this with dope and tape because it leaked the first time with just tape.

I measured the resistance across the "dielectric union" supply line to my water heater and got hundreds of ohms.