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If you had thread engaged in both pieces, the piece you’re attaching won’t nip up well, until the thread is stripped out of the piece you’re attaching. Which is why you can tighten a screw really tight, but still have a gap. You can also just back the screw out until it’s only in the piece you’re attaching, push them tight and then tighten, but it won’t be clamping as forcefully if there’s thread engaged on both sides.
A lot of the holding power will come from creating friction between the two mating surfaces. More clamping force = more friction.
Yeah for sure, I always drill a clearance hole, rather than a pilot hole when screwing anything down. If I’m adding a batten to a wall, I want the hole in the batten to be a bigger diameter than the thread of the screw. The head of the screw will provide the holding power, and the screw will clamp the batten to the wall much better if none of the thread has engaged in the piece you’re attaching.
A very simple thing that is often overlooked or misunderstood. Having a clearance hole also gives you the minor adjustment you talk about. Get it half tight and tap with a hammer until level and then fully tighten.
I’m preaching to the converted, but it’s always worth saying.