A couple of things here. 1) To get to the Locate feature, right-click on any window in the UI -- Maintained, Group, Compass, anything -- and choose Window Settings from the context menu. In the window that appears you should see the Locate section near the bottom. Choose the window you're interested in, Threat in this case, then click Toggle to show/hide it. When you are done with that you can hit [Esc] to dismiss Window Settings.
2) Threat is a special case in that there is a setting: Options (Alt+O) >> User Interface >> Game Windows >> Always Show Threat Window.
You want to make sure this checkbox is checked.
3) I haven't looked at the new PvP server yet, but in the old days the Threat window was not displayed in the UI for PvP. This may be the case now, which may be why you aren't seeing it. To get around this, or to show the window directly on any server, type