Every time your software, web browser, or computer program wants to load a web page it uses at least one connection.
A thread (in the context of proxies) is a connection to an IP address. So the thread limit listed on various different Proxyrack plans refer to the number of simultaneous connections that are allowed at any given time.
For example, 100 threads would provide a maximum of 100 simultaneous connections to a proxy.
Having more connections/threads available means you can process larger work queues faster.