Threaded shocks are considered more 'race-y' and generally cost more. If the bodies, pistons, seals and shafts are the same, it's only down to adjustment, as the threaded shocks allow smaller and more precise adjustment. A lot of good drivers who have threaded shocks also use the collars to prevent slippage. Basically, you'll usually find that the best shocks are threaded body anyway, so it's not like you'll have much of a choice about it.