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#).
By "multithreaded" I'm assuming you mean "can effectively exploit multiple cores"? If your system only has a single CPU, then you're only going to be done one thing at a time regardless of the scripting language you choose.
If you do decide to go the CPython route, then there the main thing to remember is that it is only the scripting engine itself that is protected by the global interpreter lock. If the script being executed spends a lot of time calling out to non-Python code (including I/O and other system level operations) then it can exploit multiple threads quite happily.
Another factor to consider is that Python's introspection capabilities make it inherently difficult to secure properly (Google have done it for AppEngine, but they had to disallow quite a few things in the process).
Given the prevalence of Javascript engines in browsers and Lua engines in PC games, one of those is likely to be an easier way forward.
Which scripting language is better for embedding in multi-threaded C/C++ application