There's still only one GPU and it's centralized, so you can't really individually control the states of each pipeline within the GPU. So no matter what, DirectX or no DirectX, you'd still have to put all rendering in a dedicated thread, and at best, issue stuff to that thread from various other ones. I still don't entirely like the idea of issuing from multiple threads, especially when you start worrying about things like alpha blending and multi-pass rendering where order is important.
However, there was that old blog entry (I forget whose) where the guy said that MS is supposedly providing full hardware documentation for Xenon. That would mean that developers don't have to use DirectX at all, and can write their own drivers and API layer. Still, that's not something you can do until you have the real hardware on your desk, so no chance of that in the first round of games... but for the future, you never know. I can imagine a lot of people finding it very much worth the effort. I really don't have faith in the idea that MS could make DX run fast enough given the fact that DirectX is supposed to be a catch-all API to suit everybody's needs. You can't please everybody. That's why engines like Gamebryo and Renderware perform so terribly out of the box -- they're too generalized.