Thank you again, Henrik. That makes it perfectly clear, and I've built an example that demonstrates if the time/date stamps match for the two time series, WeatherData works as expected:

DateListPlot[
 TimeSeriesThread[
  First[#] - Last[#] &, {WeatherData["Richmond", 
    "MaxTemperature", {{2017, 1, 1}, {2017, 12, 31}, "Day"}], 
   WeatherData["Syracuse", 
    "MaxTemperature", {{2017, 1, 1}, {2017, 12, 31}, "Day"}]}]]

Thanks again for your help.

Hi Christopher,

in your example above (taken from the documentation) both TimeSeries describe data belonging to the identical date range! So an operation (subtraction here) can be done "date-wise", i.e. (value1 at some date) - (value2 at the same date). In your original problem you do not have this situation, but just the opposite: Every of your data is associated with a different date. It is basically the same as if you would try to do this:

goog12 = FinancialData["GOOGL", {"Jan. 1, 2012", "Dec. 31, 2012"}];
appl13 = FinancialData["AAPL", {"Jan. 1, 2013", "Dec. 31, 2013"}];
DateListPlot[TimeSeriesThread[First[#] - Last[#] &, {goog12, appl13}]]

(This was the point I tried to make in my first reply.) And therefore - at least according to my understanding - the application of TimeSeriesThread does not make sense here.

Regards -- Henrik