See title.
The only KB we have on Threat Searches is Sophos Central: Overview of Threat searches and states that it is removed and replaced by a similar feature in Live Discover.
However, there are still remnants on the Central documents - https://docs.sophos.com/central/Customer/help/en-us/central/Customer/concepts/ThreatSearches.html
The page are now redirected to the Threat cases page (https://docs.sophos.com/central/Customer/help/en-us/central/Customer/concepts/ThreatAnalysis.html)