No, the thread milling wizard does not use cutter comp. As I recall it may have in an early version, but between bugs in the wizard and the problems with the old comp It was removed.
In my view cutter comp should not be used in simple conversational wizards. If you want to make a tool size adjustment its takes only a few clicks to re-run the wizard and generate new code. All the previous values will be saved by the wizard, so the only change you need to make is the tool dia.
Im sure others have a different opinion.
If I had written the wizards from the start they would not have used it, but since Brian wrote them, and most use cutter comp, Im not going to remove it from any of them,