MQTHRESH can be successfully saved to DATALIB from the RULES panel and then the export is correct from DLLIST, but for CTHRESH it doesn't work.
When the DLLIST command is entered, the changes made to CTHRESH are not shown when exported.
SYSVIEW 16.0 & 17.0 - z/OS supported releases -
This changed between SYSVIEW 16.0 and 17.0.
SYSVIEW 16.0 allowed to use SAVE primary command from respective screen to save to DATALIB.
SYSVIEW 17.0, since the RULES screen now for all thresholds/state, requires specifying threshold/state type that you want to save. All the types are listed in the help panel (HELP RULES).
For CICS thresholds, it will be below command:
RULES SAVE CICST
to save it to DATALIB.