You're supposed to cut the thread and open the pockets. Use them how you wish. If you put stuff in the outside pockets, they can cause the jacket to "droop" or slouch and also bulge out a little bit. But who cares? If that's what you want, that's what you want.
edit: And no, leaving the thread in does not help protect the integrity of the pocket. If you don't put stuff in the pockets, they will maintain their shape perfectly. (Forgot to answer your initial question.)