I am considering calling the Intel C++ compiler from Matlab. Do I lose any of the parallelizing capability of the compiler if I do this?
Intel C++ includes OpenMP parallel threading support, as well as supporting OS native thread libraries. When threading across 2 CPUs, it's generally useful to employ the affinity schemes (KMP_AFFINITY environment variable and the like) and arrange your data structures so that each cache line is mosly used by 1 thread.
A C++ OpenMP parallel function will work when called from another language, provided there is no conflicting threading scheme in the caller.