The Threshold value is how many grid nodes must drain into a particular cell before it is considered part of a watershed basin.
When you change this value to be smaller, you are requiring fewer cells to drain to a cell to create a stream and watershed basin. Therefore, more watershed basins are created.
When you change this value to be larger, you are telling Surfer that more cells are required to drain into an area for the stream/basin to be created. Since more draining cells are necessary, usually this means larger watershed basins since fewer streams can be created.
Updated January 30, 2017