As Groovy is based on the Java virtual machine, you get support for true threads.
Thread syntax may be static, but implementation across operating systems and virtual machines may change
Your scripting language may use true threading on one OS and fake-threads on another.
If you have performance requirements, it might be worth looking to ensure that the scripted threads fall through to the most beneficial layer in the OS. Userspace threads will be faster, but for largely blocking thread activity kernel threads will be better.
You can freely multi-thread with the Python language in implementations such as Jython (on the JVM, as @Reginaldo mention Groovy is) and IronPython (on .NET). For the classical CPython implementation of the Python language, as @Dan's comment mentions, multiprocessing
(rather than threading
) is the way to freely use as many cores as you have available
You seem use a definition of "scripting language" that may raise a few eyebrows, and I don't know what that implies about your other requirements.
Anyway, have you considered TCL? It will do what you want, I believe.
Since you are including fairly general purpose languages in your list, I don't know how heavy an implementation is acceptable to you. I'd be surprised if one of the zillion scheme implementations doesn't to native threads, but off the top of my head, I can only remember the MzScheme used to but I seem to remember support was dropped. Certainly some of the common lisps do this well. If ECL does, it might work for you (embeddable). I don't use it though so I'm not sure what the state of it's threading support is, and this may of course depend on platform.
[Update] Also, iirc GHC Haskell doesn't do quite what you are asking, but may do effectively what you want since, again, iirc, it will spin of a native thread per core or so and then run it's threads across those....
CSScript in combination with Parallel Extensions shouldn't be a bad option. You write your code in pure C# and then run it as a script.
F# on .NET 4 has excellent support for parallel programming and extremely good performance as well as support for .fsx files that are specifically designed for scripting. I do all my scripting using F#.