There would also be the issue of getting a suitable socket adapter onto some of the more complex common rail injectors to tighten them properly if they were threaded. You'd end up snapping the fuel unions and electrical connectors off the side of them and all sorts of problems.
It does make sense though doesn't it. Imagine the nightmare of trying to get a threaded common rail injector to line up properly with the high pressure fuel pipe union again. That would be so horrendous I'm surprised Renault don't try a system like that on their diesels just for the hell of it!