What version of ANSYS are you using?  Is it the free Student edition or an unlimited license?

The first thread picks up most of the load and by the third thread, very little load is carried. If I understand the images, the outer shaft has a dark grey section that ends in a flat face which makes frictional contact with the flat shoulder face next to the green thread relief PIN section. The thread contact load path goes in a small loop from the shoulder face, up the outer tube to the first couple of threads, then down through the pin to the shoulder face again. This is where I expect to see the high stress.  The much lower stress in the turquoise colour is due to the applied moment. I didn’t expect to see any stress in the threads at the right end. It’s behaving the way I expected, but apparently not the way you expected.