The OS offers the threading facility and access to multiple CPUs, plus support functions, but a program must take advantage of that as it must do some special things (like program and data synchronisation) to make sure it stays in control of them all.
The OS is focussed on the needs of the system and tries to treat ALL programs even-handedly, by trying to spread them across all cores all the time (to keep the CPU thermals even), but unless a program specifically requests more, it will be left on only one thread on one CPU at any one time.
So, keep the box ticked, unless you have other high-priority programs running (like instances of VEP) that you don’t want Cubase hogging the system.