Most forums end up using flat replies because normal people don't understand threaded replies. A friend at YouTube recently said that their research backed up that anecdotal assumption.
A couple of the major forum vendors tried offering hosted solutions and it wasn't sustainable as a business model for them; they both went back to simply licensing the forum software itself.
Forum communities are like any other social system: network effects and "where your friends are" are what keep you from leaving. Most "power user" features go unused by the majority. Stats like only 3% in one community use the friends list, only 10% in another use the profiles, etc. It's never about the feature set, it's all about the community.
Existing forum software is basically a black box. It's hard to integrate with and expand. It's hands-off for the admin until they realize they want a site that's more than just a forum.
I tend to prefer threaded overall, but there are some non-threaded forums I'm on where I don't think the community would work as well with threaded. For example, I don't think the SomethingAwful forums would work well at all as a Slashdot-style (K5-style, HN-style, reddit-style) threaded forum. Actually, I think some parts of reddit would work better with unthreaded; there's often a sort of urban-sprawl feel to the thread branching there.
Interesting what you say about db ownership. And I guess for established forums there would be migration considerations too (maybe this is why they haven't upgraded?)
Customization would be no problem. You could allow users to source their own css for example.