Question: I had the impression that when you had several threads on a Java app this would result in several VMs, is this currently so, was so or it's my mistake and it was never like that?
Threads in Linux (in general) are separate process that share memory space, in Windows it's different and they're "threads" being scheduled under a parent process.
In the Java 1.1 & Linux 2.0 days you could get better Java performance by using green threads. That didn't last long, and around the time Java was being used for server-side applications it had mostly switched over to native threads.
So far as your actual question goes: There is little difference between the Java threading implementation on Linux & Windows.
[1] http://en.wikipedia.org/wiki/Green_threads#Green_threads_in_...
The Linux scheduler schedules processes; the Windows scheduler schedules threads. Via clone(), Linux can create a process that shares almost everything with its parent, and thereby looks mostly like a Windows thread.
With regards the JVM, there is little difference in this specific respect. The sync primitives available on each platform are a bit different though, as well as things like signals.
But I would say you would have definitely to watch for a) thread creation time and b) thread priorities (but for most of the applications these are not a problem)