You can leave the threshold fields empty as these are not mandatory. It is recommended to create threshold profiles to be alerted when a specific resource goes beyond the normal expected value.
As for the threshold values, you can set them based on your requirement. For example, if you wish to be alerted when the Edge messages received exceeds 20, you can set the threshold value for the metric "Edge messages received" as 20 and the alert status as Trouble/Critical in the Add Threshold Profile form for Microsoft Exchange Server (Log in to Site24x7 and go to Admin > Configuration Profiles > Threshold and Availability (+)). When the threshold value is breached, you will receive an alert and the monitor status will be turned to Trouble/Critical based on your setting.
Hope this clarifies your question. For further queries, if any, please comment in the below thread.