There seems to be bugs lurking in the configure. Even if the threads are enabled and build completes successfully, features won't list threads. Also the "mp" functions are not defined. I'd assume somewhere ECL_THREADS won't get defined.
The ECL on OpenBSD is build against system gmp and boehm-gc. Boehm-gc port is build with threads enabled. You can check the patches and configure options from the port at http://www.openbsd.org/cgi-bin/cvsweb/ports/lang/ecl/