Should front fork sit directly on the axle thread?

That's how it should sit, yes. There is no significant force applied on the threads themselves, the wheel is held in place by the friction forces between locknuts and dropouts. Here are a couple of quotes from Sheldon Brown's website:

From this page:

If the skewer is properly tightened, the axle is held in place by the friction of the locknuts' being pressed against the inside of the dropouts. If this were not the case, horizontal dropouts would not be usable, since the forward pull on the chain creates a larger force against the axle than supporting the rider's weight does.

From this page:

In practice, the axle can be quite a bit shorter than this...even 1-2 mm protrusion past the lock nuts will suffice to locate the axle properly, so, when converting a hub to the next wider spacing, it is usually unnecessary to replace the axle.