I definitely would try to sand as much of the powder coating out of the "threaded" section. Having done a fair amount if powder coating I would have protected the threads before applying the powder.
I wouldn't exactly call them threads, more like a suggestion of a spiral groove. Be extremely careful "threading" them in as they are easy to cross thread. Spot welding is a fix but that would kind of destroy the finish.
Oh, and I would not consider putting those rotors on without having them turned after all the work and money you've put into this.