Source for this HG wall unit screw?  

.
I still have some fragments of an HG wall unit in my stock but I've never seen this, what is the purpose of it?

Looks similar to a Hanger...
Looks similar to a Hanger Bolt, but the flattened threads set it apart. You might try searching using "hanger bolt" in your search to see if that helps.

I tried searching for hanger bolts
but everything was the conventional American style hanger bolt with a wood screw at one end.
These are for the freestanding setup that has solid sides with shelves. They're for attaching the top and bottom shelves to form the frame for the shelves and boxes.
Like this one:

.
I see, it's different to the one I have in my stock, it's a wall system.

Can you find a hanger bolt...
Can you find a hanger bolt with the same pitch threads on the wood screw side?
If so, I have a completely crazy idea for you:
grind the wood screw threads down
grind the tip off and cut a slot

Alternatively:
If you can ...
Alternatively:
If you can find anything that fits the nut with the weird threads, be it threaded rod, a screw, etc, then:
-get threaded rod of the right diameter and a coupling (metal tube with threads inside)
-get JB Weld
-stick some JB Weld on threads of the threaded rod screw it into the coupling halfway
-insert the weird threaded thing you've found into the other end of the coupling with a bunch of JB Weld.

Well, that sounds like a lot of fun
but I completely suck at that kind of thing. Seriously, my talents are pretty limited. I would rather just stick some L brackets on there and then just remember to never lay on the floor where I could see them.

.
It's not a nice way, you will regret it.

Any chance of a photo of ...
Any chance of a photo of the thing that the weird threads go into? Also perhaps a shot of how the horizontal and vertical wood fit together with that weird bolt in between. I can't visualize how it is supposed to work yet.
There might be another work around other than angle brackets.
Oh, and the first of my crazy ideas definitely requires some tools not found in the average house, so I get it. But the second crazy idea is much simpler. Its only 1/4 crazy. JB Weld does all the work for you. Just got to find a threaded something that works in place of the weird threads on the real bolt.

here you go-
The cutouts in the wood are exactly 1" diameter.
This is the shelf. The upright side pieces butt up against the end of the shelf and the small end of the screw goes directly into a hole in the side piece, no hardware at all.
I'm not sure how to tighten the hardware up once the joint is assembled, but I have someone here who has put these together recently and he can advise me on that.
It's like the typical European knockdown fastener you see nowadays, only...not.

I was hoping
Lee Valley/Veritas had something that would work but it doesn't look like it (to my un-expert eyes, anyway).
http://www.leevalley.com/US/hardware/page.aspx?cat=3,41306&p=41319&ap=1