I know F5 guru Mike Hillis has made excellent posts on this in the past and he's best qualified to answer this, but he's been going out with a high-class gal from Sweet Home lately and is probably really busy with her.
The gain is basically the power, a magnifier of the signals that increases or decreases the strength of those signals.
The threshold controls what size signal the detector will pick up.
Anything below 0 with the threshold and the detector is restricting smaller signals from being detected to some degree.
At 0 the threshold is totally open, above 0 threshold settings will increase the volume of all signals.
Mike H. made an analogy a while back that stuck with me. The threshold is the door that controls what signals get in. At 0 the door is wide open. Below 0 the door is partly shut. Above 0 threshold does not open the door more, it merely increases the volume.
A higher threshold is usually preferred when you're looking for very small targets, small gold for instance.