As a scripter in mIRC, I think this is a good idea, and I seem to recall seeing something like this earlier, but I wasn't able to find the post in a quick search.
One problem that I can see, is the fact that some scripts require information from previous sections of the same script in order to work properly, and if multi-threading was introduced, there would have to be a way of controlling what thread was run when, so that all of the required information was available.
While it's not exactly the same thing, currently you can have multiple scripts running at the same time, and they work just fine (of course the longer and more complicated the script, the longer it's going to take to run).
