Good point. AppleClang doesn't have OpenMP yet (grr). And because clang is so much faster to build psi4 than gcc and we figure ppl aren't doing production calcs on laptops, we accept the single-threadedness of clang for the conda pkgs.
Nevertheless, we have been having some threading issues on Linux lately. They happen when you set the threads programatically and psi4 and numpy math libraries get into a fight about whose mkl symbols get resolved, not for ordinary psi4-controlled threading, so I don't think that's your issue.
If copying the below into a file
tu1.py and running
time psi4 tu1.py and
time psi4 -n 4 tu1.py shows some evidence of speedup, you're fine.
#! Sample HF/cc-pVDZ H2O computation
h2o = psi4.geometry("""
H 1 0.96
H 1 0.96 2 104.5
if __name__ == '__main__':