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#).
Entirely preference-based.  Most languages have a way to embed in C with options for exports into the scripting environment.
If it were me, I'd go with V8 Javascript.
Which scripting language is better for embedding in multi-threaded C/C++ application