Regular threaded rod is held to very low tolerances and is subject to a lot of backlash. It is also slow compared to belts.
Switching to an acme rod fixes the accuracy problem, but requires more expensive nuts to reduce backlash. The cost for all that is greater than for belts. It is also relatively slow, and precision acme rods/nuts are harder to find than belts/pulleys in my experience.
I use acme threaded rod for the Z instead of a belt only because it keeps the z axis stationary when power is off to the machine.