This is correct. SequenceFileLoad does not run with the process model. It is an engine callback. It's not until you click TestUUTs that you kick off the batch model. And even then if you look inside the model you won't see the executions get spawned until about halfway through the test. So ProcessSetup and ModelOptions and some of those callbacks are still only 1 thread because they occur before the model spawns the batch of threads.
It doesn't make sense to spawn 5 threads in SequenceFileLoad. What are you trying to do? Maybe there is a better way.