I know! I just wrote a whole paper and published a library on this!
But really, perhaps not as much as many from outside might think. The core of a Philox implementation can be around 50 lines of C++ [1], with all the bells and whistles maybe around 300-400. That implementation's performance equals CuRAND's , sometimes even surpasses it! (the API is designed to avoid maintaining any rng states on device memory, something curand forces you to do).
> running the same PRNG with the same seed on all your cores will produce the same result
You're right. Solution here is to utilize multiple generator objects, one per thread, ensuring each produces statistically independent random streams. Some good algorithms (Philox for example), allow you to use any set of unique values as seeds for your threads (e.g. thread id).
[1] https://github.com/msu-sparta/OpenRAND/blob/main/include/ope...