According to Dr. Bob at superiorthreads.com, this is what he has to say about glazed thread:
"Glazing involves heating the thread and then coating it with waxes, starches, and other chemicals. The thread is then polished to a high luster. Glazing results in a glossy thread with a hard finish. Glazed thread is often stiffer than unglazed thread. Most professionals do not recommend glazed threads for machine work as the glaze rubs off and gums up the machine."
Hope that helps!