Add multi-thread Python testing

[pentschev]

With the thread{,polling} progress modes, multi-thread Python should be able to function correctly and we should add tests for this situation. However, there are at least a few instances of issues that may need fixing as pointed out by @wence- in #318 (comment) . We may need to review all places where the Python GIL is ensured before we can claim multi-threading support indeed works.