There are many good reasons (and some not so good ones) for using P4D and one of them is to get access to the libraries available for python (another one is for application scripting), Quite a few of python libraries already make use of the available CPUs or even GPUs (e.g. Tensorflow, PyTorch, scikit-learn etc.). There is absolutely no benefit (maybe the opposite) in using multi-threading or multi-processing with say Tensorflow stuff. For other tasks you need to bear in mind:
Avoid premature optimization and then identify and focus only on bottlenecks
Tasks you implement in Delphi instead of pure python are likely to be much faster, even before you employ Delphi multi-threading.
Use TPythonThread mainly to avoid blocking the Delphi main thread, but not as a tool to process things faster.
You can use multi-processing as a last resort. In the vast majority of cases you should not need to do that.
Make sure you know what you are doing before trying to use Python threads (and multi-threading in general) . Study Demo 33 in depth for instance.
By the way the list of languages that have the same limitations as python in not being able to exploit multiple CPUs directly via threading, includes other popular languages such as JavaScript, Ruby and R. It is interesting that this limitation has not prevented their widespread adoption in an era in which the main increase in processing power comes from the increase in the number of cores.