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I have never used cygwin, hence i am not sure if the use of cygwin restricts some parallel capapilities of Sage (i guess not).

In general, it depends on the task you are asking to Sagemath. Some of them that rely on external libraries might be run in parallel, some of them will only use a single processor. In the later case, if you are running lot of independent tasks in a loop, you can parallelize that loop, in particular, there is a handy @parallel decorator to help in that task, see