As some others have said, GPLv3 is off-putting, but there is the LGPL mlpack lib (http://www.mlpack.org/) (also C++). Personally, project-wise, the only way this could be improved is if the project were pure C, and a BSD, MIT, or similar license. Quite looking forward to checking these out, though.
So I reckon my GPU accelerated python still beats a C++ pthreads approach, and is alot faster to develop on.
Your mileage may vary, from what you said you probably know what you are doing, maybe GPU is not applicable. I was really replying to the initial comments that said they want to start learning machine learning on a C++ system. Training for days suggests you are doing something hardcore like MCMC/DBN/Guassian Processes, learners should not start there though....
I suspect my tuned C++ code will work quite well on a Intel MIC, and that is probably where I'm going to go when I have more resources to throw at the problem. I do know that Theano does use Alex's C++ CUDA code under the covers and I have done lots of reading of some of theano's code looking at implementation details to help developing my code. I just am not a big python (or most scripting languages actually) fan, perhaps I'm just too old school and written C, C++, C# and Java too long. If it doesn't smell or feel like C, I feel like Scotty in Star Trek 4 when he was making the transparent aluminum on the mac.