I have not been able to get official verification of this from a Microsoft website, but according to several other sources Windows uses the memory closest to the CPU that causes the page fault wherever possible. So effectively it does not matter which thread allocated the virtual memory, the thread that touches the page first will determine what memory is used to back it. It certainly would make a lot of sense for it to work that way.
If you have a real-world workload that you could throw at it I would really appreciate the feedback. I don't currently have any benchmarks that I think are suitable. Assuming the behaviour described above is correct and Windows backs a page with memory from the CPU that touched the page first I expect this new feature not to have a material impact on performance with blocks much larger than 4K, but with smaller blocks there should be a measurable difference.