It says better threading, not no threading. I think the thought was that certain interactions such as disc access could easily stall the rest, or something like that.
I'm not sure what better threading means though? Perhaps convenience functions to ease development, but either you can spawn multiple threads or you can't. I/O shouldn't stall the application, since Unity has long supported asynchronous I/O. I've never used Unity for console development though, it could be those apis are unavailable on those platforms (although I would assume they are).
Sorry if it feels like I'm picking on you, but I get annoyed when people say "oh this game doesn't perform well because of Unity". No the game doesn't perform well because of the design decisions that the developers and artists made. Guess what? It's not trivial to make a highly performing 3D application. Unity doesn't magically make that challenge go away, but it also doesn't prevent you from making a well optimized game. Even things like garbage collection (an often cited critique) can be worked around if you make good design decisions.