I designed a threaded screw (example M16 step 2) and saved in STEP format. Why doesn't Keyshot read the fillet well?

YES,Key shot read the fillet well. but remainder that to assign material in solid work. it well become more easy to render.
hope it will help you.

This can be repaired using two ways,

1. Try to increase tessellation quality, so that minute details are read well in keyshot.
2. Select geometry and go to properties>> rounded edges, increase radius to suitable value.

I recommend you to follow step-1, when you forgot to round in cad, then step-2 is useful.