I had more intensive multithreading in newspro, but because of tracking crossposted and GUI effectively most work was done in a single thread because of locks. In the same time multithreading made development more complicated and when newsgroup volume exploded it was one of main reasons I had to resort to full rewrite (very expensive in the development time) rather than changing existing code.
I think I saw higher speeds, when you download headers try to keep newsgroup vews closed (those effectively updated), updating newsgroup views takes significant toll on CPU (sorting new headers into views).
Also you may try to adjust update rate and freeing rate in edit menu->properties->tasks, header tasks, less frequent (newsgroup views) update rate - less CPU usage, less frequent freeing rate - takes more RAM but saves on CPU because less headers are loaded/unloaded (freeing is like purging cache).
Another serious problem when downloading large newsgroups is spam.
There are systematic spammers (most likely someone pays to them since it is constant activity for many months or maybe several years), the spam pattern is relatively small single messages with random subject. the volume of posts sometimes is like 50K-200K messages a day, if you are trying to download all headers in the seriously spammed large newsgroup with high retention - the number of header entries becomes huge and it is not possible to keep it in the database in reasonable amount of RAM, sorting etc. gets slower. if you scroll such a newsgroup - you see large clusters of those spam posts.
All databases trick is effective compression, which is possible only when data is well organized, if there is a lot of random junk - it will take most of RAM, say what CPU it takes to handle sorted list of several millions of entries.
The known spam gate very active recently is provider
http://www.hitnews.eu
To be exact the UE code is multithreaded (when it downloads headers there is one thread per task), what is single threaded is inclusion into the database / updating newsgroups views. It is also possible more preparation work can be done to make integration of new headers faster, I need to check for exact bottlenecks, purging cache or updating newsgroup views is as fast as it can be, integration into database hashes there is some space to optimize it further by shifting more work to other threads, I'm not sure though it is significant percentage, maybe I'll try to doublecheck that.