I haven't used them yet but I would say that you need the "O" ring. Threaded is not necessarily leak proof and this is especially the case with Bell boxes and connectors. It all depends on whether the full taper of the threads on the fitting or conduit fully engage the threads of the box. That's possible with threaded rigid or IMC conduit but with most fittings the limit is reached when the hex or shoulder contacts the box.
-Hal
