My valve for bathtub has a plastic plug on top which someone told me was for running the supply line for the shower head. It's threaded. As my two bathrooms are back to back I can see that the valve for my shower in the other bathroom has the plug on the bottom and the supply line to the shower head is soldered just like the down spout on the bathtub.

While watching a bathroom remodel fix on TV I believe the contractor said that if a connection was accesible it could be a compression fitting but if it was not accessible it had to be a permanent connection.

Am I missing something? Or can I run the supply line to the shower head using the threaded connection ?

If you want to run the shower pipe up the inside of the wall, yes you will just take out the plug and screw a fitting into the threads and then run the pipe up to the height you want your shower head to be.

Sure, you can attach shower to that upper outlet. You will have to install tub spout with diverter plug so you can operate spout or shower independently. If it is Grohe body, than you may need "Twin Ell" fitting.