It sounds like you have something wrong with your threading setup. The wizard simply writes a line of code, then its up to Mach to run it.
Threading only works for a licensed version of mach- the demo will not thread.
Threading requires an index pulse, have you checked it on the diagnostics page. Note you need to rotate the spindle by hand because the LED only flashes on briefly once per rev.
There are some other threading suggestions in the general mach part of this forum.