Threaded vs Smooth Valves
Presta valves come in both threaded and smooth varieties. Threaded valves have threads that extend to the bottom of the valve stem and usually come with a valve nut. The valve nut threads onto the valve stem after the valve is inserted through the wheel rim. The valve nut can help to hold the tube in place while you're inflating it and protects the stem from rubbing against the rim while you are riding. The valve nut does not have to be used, but if it is, be careful not to over tighten it.
Some cyclists prefer smooth valve stems because it is easier to remove the pump and the pump head gasket will wear longer. On the other hand, the pump head is more likely to come off the valve during inflation.