While on the subject of doors and windows though, what does the 'keep proportions' checkbox do? Doesn't seem to make any difference and is unset when I check again. I thought it meant maintain the same ratios, but I tried it with the cylinder and could still drag the circle into an ellipse so looks like I'm not right about that.

The 'Keep Proportions' check box only applies when making changes to to one of the dimensions in the 'Modify furniture' window.

What should one do about a threshold for a door? They don't seem to include one, but external doors really need one. Is there some standard way to add one that I'm missing?

Find a different door model with a threshold built in. [;)]

Another problem I'm having with doors is the side on which they are hung. They flip between opening in or opening out, but always also hinge on that side. I want a door that opens in, but is hung on the outer edge of the wall. Is this something that can be set, or do I need to choose a different door object?

In the 'Modify furniture' window, check the box that says 'Mirror shape'.

Also I'm using a window object that has large sill projections that protrude a long way out of the walls if I allow the object to snap-to the wall. Is this adjustable without manually reducing the depth of the window to less than that of the wall, or again, should I just find a different window object?

I'm not 100% sure what you're getting at, but it sounds like what you want to do would require modifying the model in a 3D modelling program, or - as you say - find another window.
You could try adjusting the depth of the window (without a check mark in the 'Keep proportions' box) and see if you get desired results.

There's a lot of helpful information in the Help files for SH3D that covers some of the questions you've asked, as well as some possible future questions.
I recommend spending a little time reading through them. [;)]