They don't use native threads; the entire program is still a single process still uses only one native thread. (I don't understand the Windows threading model, but I'm pretty sure what I said is true on Unix-like platforms.)
This is not true generally. On unixen, the local thread implementation is used for providing threads, but each thread has its own interpreter and its own copy of the data structures.
There's still way too much global state in Perl 5.
I don't think this is necessarily true in the core Perl modules. It's third party XS based modules with their own ways of accesing perl's internal structures, that cause problems in many cases.
Cloning an interpreter and the global state is hideously expensive.
Indeed. All stashes and their contents, as well as all live lexical values, are copied. They only thing I understand that is not copied, are optrees.
Shared variables are even worse, because they not only exist in a thread and the threads started from that thread, they also exist in the "shared variables" thread (which is a hidden thread used as a safe haven for shared variables).