The THRESH module contains three sections to set thresholds for a signal. Every section has a INput and an OUTput. Further it has two black knobs, the left one is normally used for a LOWER threshold and the right one for the UPPER threshold... This means that when you input a triangle wave, you can cut off the lower part of the waveform by turning the lowers Threshold. Obviously you can do the same for the upper part of the wave. This will result in a different waveshape. You can use the green SMOOTH knob to indeed make the corners smoother. You can use a LFO signal or even an audio signal to place thresholds on. With audio signal you can not raise the smoothing to high or you will loose gain.
An other use might be INputting a sequencer signal and 'filter' out notes below or above a certain threshold. And oh - for every use there is also a knob that lets you switch the output signal BETWEEN the tresholds or OUTSIDE of the thresholds. And did I mention that the switch below that, changes the signal from a WAVE (W) to a GATE(G)? This should make for extra fun playing around with wave shapes in the F_SYN bundle!