I use a rubber compatible silicone grease such as Shin Etsu. I've never heard of anything specifically made for bleeder threads and had bought this when I had an S2000. Given its intended use, it is rubber safe and has worked for me for 20+ years. Lots of other uses too and it does work at stopping slight wind whistling from older door and window seals.
Shin Etsu Silicone Grease, Article
Shin Etsu Grease
This right here. I use toyota red rubber greas which is compatible with DOT3/4 Brake fluid (even tells you to use it for caliper piston seal assembly).
If I bleed I take the bleeder out generously smear all threads and screw it back in and bleed.
After I am done bleeding it i smear a generous amount around the bleeder and put the rubber cap back on.
If you do this every 2 year or so it seems to help.
I lost 2 front calipers to broken/frozen bleed screws. (tried the impact air hammer attachment to loosen it, water and heat and everything else).
Yes the front calipers were working great when I replaced them. Why did I ? I live by the great lakes in the rust belt. That brake fluid can and will gather enough moisture to corrode the piston and jam it or have the rust eat in from the outside. Im not putting top of the line brake pads and rotors only to have the **** pistons get stuck and cook my pads and rotors.
If you are in Carolinas, California or south east it may not matter to you, ignore what I said(no seriously I mean it).
But if you live in the muggy rust belt? Yeah grease that, take care of it and remember DOT3/4 is hygroscopic it will gather moisture so it will be more and more corrosive every day.