A thread (in the context of proxies) is a connection to an IP address. The thread limit listed on various different Proxyrack plans refers to the number of simultaneous connections that are allowed at any given time.
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For example, 100 threads would provide a maximum of 100 simultaneous connections to a proxy.

Every time your software, web browser, or computer program wants to load a web page it uses at least one thread. If you are using a web browser you are likely to see approximately 10-20 threads used for each webpage that you are opening. This is because each resource (HTML, CSS, Javascript, images, etc.) that needs to be downloaded in order to view the webpage will count as a thread. Once the resource has finished downloading, the connection will close and the thread will become available for use elsewhere.

Having more connections/threads available means you can process larger work queues faster.