There are pros and cons to every beauty application, but threading might offer benefits that you enjoy and prefer. For starters, it only removes the hair, whereas waxing takes the hair and some skin. This means threading is less irritating.
This makes it ideal for people who already struggle with sensitive skin. Other treatments can utilize chemicals that might cause adverse reactions, whereas threading utilizes none of that.
Your skin will likely show some immediate redness as a natural reaction, but will soon clear up. There are no real negative consequences due to the simplicity of the process.