I don't think the tutorial is not clear, but this is Chimera not ChimeraX. The extract density function in ChimeraX is not available yet, but it works in Chimera. 🤣
The threshold can be set to any number and can be found by looking at the the contouring level in the volume viewer of chimera. It will be different for every mask you make. You will find this number next to "Level".
