It all depends, I think. I once used multi-threading to speed up the initialization of a Lambda which was just a "port" of a beefy rest service. It was ported to cut costs and for fault isolation. I managed to gain 2-3 seconds of initialization time, but it was something.

A Lambda deployment has the advantage that no one needs to manage it, and faults are isolated between clients. You could argue that if you need these properties your engineering organization has deeper flaws, and you'd be right, but in many companies engineers need to make do with what they get.