Yes it does (I recently bought one and love it). It is controlled by the same lever that controls the carriage feed, which is not to be mistaken for the dedicated threading feed as follows.
pg 20, fig 6 (ignore the rest, miss leading) link below for manual.
Knob 4 controls choice of thread (carriage only) or feed (carriage/slide).
Lever 9, thread engagement.
Lever 8, carriage feed, up or cross slide feed, down. (Zoom in on photo in second link and it shows the feed selection).
One word of warning do not use both (lever 8 and 9) at the same time damage could occur.
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The Grizzly or PM manuals explain these functions better as they have been written in house and not a poorly translated Chinglish manual.