Rolled threads still have a stress riser even though such devices don't remove any thread. A spoke is 2mm thick at the end. By rolling on a thread some of the metal is moved from the root of the thread to the peak of the thread. This means that the spoke shaft is 2mm, the roots are 2mm-X and the crests are 2mm +X. The average thickness remains 2mm but you have to have an area thicker and an area thinner in order to achieve this. Of the thread was cut, the crests would have been 2mm and the roots 2mm-minus a bit.
In spite of this, rolled threads are still better. A cut is never as smooth as a roll and rough valleys make for big stress risers.
Further, the die that rolls the thread is designed to give a U-shaped root rather than the traditional V-shaped root in the thread, again reducing but not eliminating the stress riser.
What the OP saw through his magnifier was the first crest of the first thread. The root is where the spoke breaks because that is the first weakest spot on the spoke and the spot that carries the most tension of all the other threads.
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Here's a photo of a thread rolled with my Morizumi spoke threader. Look at the point where the thread starts on the left and note the first root, that's where a spoke breaks if it doesn't break at the head on the other side.
This illustrates why double-butted spokes are more durable. The spoke's middle section, the shank, is drawn to a lesser diameter - typically 1.8 or 1.5mm and is thus the thinnest part of the spoke. The spoke then flexes in this section rather than at the second-thinnest section, the first thread. But because the shaft is smooth without any stress risers, it has an infinite fatigue life. A double butted spoke will never break at the shaft but will fatigue if the wheelbuilder doesn't understand how to stress-relieve the spoke.
