Considering the following requirementes:

Must be supported on Windows.  Preferably works also on other platforms.
Must support multi threading.  By that I mean that the engine can work in parallel in multiple threads.
Readability is important.
License must be compatible with closed-source projects.

I like Python for its readablity.  I am also have more experience with Python than other scripting languages.  However CPython is not multi-threaded, and IronPython requires hosting the CLR and a compatible language (C++/CLI or C#).
Im pretty sure Stackless Python is going to be the only one supporting multithreading out the box. Stackless Python was chosen by CCP for their MMO: Eve-Online specifically because the stackless nature of the code allowed them to schedule the continuations on any OS thread they needed once they'd built the necessary primitives in to make the whole thing thread safe.
Lua can be used in a multi threaded environment, but each concurrent thread would need a separate lua_State object so you'd need to build your own interthread message passing system for lua code, executing in the context of separate lua states, to communicate.
Which scripting language is better for embedding in multi-threaded C/C++ application