Threading buys you only two things:
It allows you to overlap computation with I/O (but it does not alter the fact that I/O is usually the physically limiting determinant of throughput).
It allows you the potential opportunity to utilize multiple CPUs and/or cores, if they exist.
Recursion, on the other hand, is a property of an algorithm. Furthermore, it is significant to observe that recursion is not parallel. The recursive iteration must complete, and deliver its result, before the outer iteration(s) may proceed.
Many algorithms that can be expressed in a recursive fashion, also can be expressed in a massively parallel fashion ... but traditional threading models are not “massive parallelism,” a term that is usually reserved for talking about things like array (co)processors.