I think Blitz is "thread-safe" in windowed mode as long as you are only accessing a bit flag in a bank. Reading/writing unsynced data from and to banks would be pretty risky, of course. but as long as it's only a bit that signals if Loading is complete, why not? When you play a Movie or Mod, it's multithreading too, at least on the system level.
In Fullscreen it's probably more difficult.
In Fullscreen it's probably more difficult.