It states in Riddick Wiki, Lord Marshal that each one is to make the trip to the Threshold,
Since Covu "The Transcended" discovered the gate to The Underverse, called "The Threshold", each successive Lord Marshal has made a pilgrimage to The Underverse. His trip to The Underverse grants him a plethora of greater inhuman powers. All The Lord Marshals are extremely long lived, perhaps even immortal.
In the next section it states that Zhylaw "The Last" finds an artifact, but it does not imply that this artifact shows the way to The Threshold, only its secrets.
Zhylaw "The Last" discovered a great ancient artifact on Helion Prime, within the secrets of The Threshold were written, after studying and destroying the artifact so that nobody could ever find it, he would use it in his great crusade. With this knowledge he could use more of the Soulpower than any other Lord Marshal making him the most powerful Lord Marshal in history.
In Riddick , Riddick does not display any of the powers of a lord Marshal, so it would be safe to assume that he did not go?