I've worked out why they did it this way.
This thermocouple has a high limit fuse built into it.
I suspect that it was mandated that all water heaters needed to have one of these high limit fuses somewhere. Whirlpools answer was to include it intrinsic to the thermocouple. Probably not actually a bad idea - they could use a cheap, non-resettable fuse, and incorporate it into a commonly consumable part.
But, they couldn't allow someone to put in a non-fused thermocouple, as this would bypass the safety feature. So they changed the threads.
A few years pass by, and the rest of the manufactures have done it a different way, exposing leads from the gas valve for an externally mounted safety switch. Whirlpool adopted this more standard approach as the years passed by.
