These two tags behave differently. The THREAD tags assumes you are opening a thread on this site and so it opens it in the same tab/window. Where as the URL tag assumes it is a link to a different site and opens in a new tab/window.
I believe the same thing happens to the POST tag as it does with the thread tag.
Some may find it nerdish to use different tags but when you put lots of links in your posts everyday it becomes habit and using the thread tag makes it easier to read when you are composing the post.