Is there any disadvantage to running EVERY module in a theme threaded. Of course, some modules don't work well when threaded. But, if after testing and removing the option from those modules which have issues when threaded, could this lead to less obvious problems/instability?

Threaded means that nobody can predict order of modules loading, and that is the main disadvatage.
1) it will be much better if desktop module would be loaded before other modules
2) some special modules as zorder.dll or grdTransparent required to be loaded BEFORE of AFTER other interface modules to take effect

With NetLoadModule, even threaded modules load in order.

RabidVWM doesn't work perfectly threaded, but it's hard to tell. Everything works fine except for drag&switch/dropping things dragged from other applications. It's very difficult to find every little incompatibility like this.

If my current theme use modules that doesn't have (big) memory leak and are not litestep'frozing'able; then, does running modules threaded still make sense ?