You can practically issue render commands only from one thread. And there is no way to save bunch of commands anymore as display lists were deprecated. Also it's still very much state machine based. So you have to do a lot of individual calls to set everything up for actual draw call.
I personally love OpenGL and use it on my work. However this is one of the biggest drawbacks on OpenGL currently.
OpenGL has context sharing, which means several contexts in different threads sharing the same objects. You can issue commands as long as you synchronise access to objects yourself. In practice, that means filling buffers, rendering to an off-screen framebuffer, etc. from other threads.
If it works on Windows, then I wonder if it really matters. I've seen a lot of games (e.g. Team Fortress 2) still offer multithreading as an option in the UI, so there's already two code paths there.
D3D multithreading works (even, to a lesser extent, with D3D9!), and this is one of the reasons why our D3D9 renderer is dramatically faster than our GL one - we can offload a subset of rendering work to helper threads instead of keeping it all locked on the thread that owns the window.
TF2/etc do offer a multithreaded rendering option, but IIRC on Windows their engine still uses D3D. Also, note that it's an option, because the feature used to be very unstable (still might be, actually) - I suspect people using the GL version of those games may have to disable it on certain hardware/driver configurations.
In D3D it works as OpenGL display lists would, except with arbitrary commands. So you have multiple threads composing the scene and then a single thread just issues few commands to replay the command buffers created by the other threads.
It would be rather simple to implement the same in OpenGL as we already have the display list concept, even if it originally was made to reduce the amount of glvertex3f calls.
"complete lack" was maybe bit of an exaggeration, however in practice it is true.