When the Imperial player is given "x XX the Threat Level" for optional deployments.

Does this threat last on start of Round 1 if the Imperial chooses not to spend any of the points in this section.

Yes.

If the special setup instructs you to increase the threat by a specific amount (2x the threat level for instance), you physically increase your threat on the threat dial. Usually you can also do an optional deployment during special setup, but technically they are unrelated. So if you chose not to deploy anything during the special setup, you keep this threat.

That's fine just refreshing up on stuff again.