I attempted to multi-thread with Start-Job a while back, but was unsuccessful. I gave somewhat of a detailed account in this thread: http://communities.vmware.com/thread/296805
It obviously has to do with adding the snap-in, so if you used raw REST calls you should be able to achieve world domination…
For instance, instead of using the Connect-CIServer and generating N number of sessions, you can re-use the same session token for each thread.
Cheers,
Jake