Right. Microdot just gives you the support to build the web application. This is built on top of the standard asyncio Python library, so you are likely to find good support for most tasks in the ecosystem.
These devices have no concept of processes, your application is the only thing that runs. Most devices do not support threads, and those that do have really big limitations. Like for example, a device with two cores would allow you to spawn just one thread, to run on the second core and that's it. This is due to the lack of a proper operating system with a scheduler that can move threads in and out of the CPU.
I will definitely push microPython for some use where it'll fit ..