when they say threaded, it's easy to think conversation mode like in gmail or AIM,yahoo,MSN type IM messages. how messsages are displayed one after the other like a normal IM conversation.
here is a picture of a threaded messaging app on the treo:
SMS messages are not displayed in seperate entries like they are on blackberry, but in that type of threaded/conversation fashion.
When you use BBM it threads the messages.
Although it is a BB only application, multiple contacts can participate simultaneously. It reminds me of chat.