Have you defined a ThreshDir that is writeable by the MRTG process?
To make Thresholds work with MRTG/RRD, you need to have a writeable ThreshDir defined, as well as your ThreshProgI[] and ThreshMaxI[]. If the directory is not defined, or is not writeable, thresholds do not get checked.
EG:
ThreshDir: /u01/rrdtool/thresholds
ThreshMaxO[offset]: 5
ThreshProgO[offset]: /usr/local/bin/notify