SYMPTOM:
In Strategy Developer, thresholds are not retained after users drill on a report.
CAUSE:
This issue occurs because the 'Keep Thresholds while Drilling' setting in the report editor is not enabled.
ACTION:
To resolve this issue, go to 'Report Data Options' in the report editor and under the drilling menu, set 'Keep Thresholds while Drilling' to 'Yes' as shown below:

Users can also simply press the F12 key, as this toggles the thresholds On and Off.