1018 steel is weldable, machinable, easy to get, and cheap. It's what many truss rods are made from.
A roll formed thread is stronger but the amount of tension required to snap a two-way rod made from 1018 is also enough to destroy the wood around it before it breaks. There's a substantial torque load on a truss rod before is snaps so it's hard to figure exactly....but with no torque present...950-1000 lbs. of tension is about where 1018 will snap on a 3/16-24 or 32 cut thread. Give or take...the fine thread will hold a little more before it snaps.
A cut thread is weaker but it's a LOT easier for you make. It will come nowhere near breaking under the minor loads necessary to offset string tension loads....or the minor bends that may be required to offset other building issues.
Obviously...we shouldn't be using truss rod to correct serious building issues...so go ahead and cut the threads in a 1018 steel rod. I promise it'll go easier for you in every respect fabricating it...and it won't break unless you make banana necks.
For what it's worth...I'm in the process and breaking and quantifying loads several steel truss rods for the purposes of making a direct comparison to a composite truss rod I'm developing. I've broken lots of steel rods so far in a specialized jig meant to present a very practical and demonstrable comparison between steel and composite.
If the welds do not break (which happens fairly frequently in these tests) then the next break will occur in the minor thread diameter when the threaded bar is in tension. Believe me when I say that just prior snapping...there is a LOT more stress there than any decent luthier should be having to apply. Many times more....in fact.
When I can fix this issue....I'll REALLY have something.