Let me clarify this instruction: PARDISO has two modes of execution: In-Core, when all LU factor are fit in RAM, and Out-of-core (OOC) otherwise. In the last case most of LU factors are stored on hard disk. OOC mode (iparm(60) = 1 or 2) requires information about memory which PARDISO can utilize - it determines by MKL_PARDISO_OOC_MAX_CORE_SIZE parameter; and PARDISO stops with error= -9 in the case when the specified amount memory is not enough for solving the task. In this case the amount of memory should be increased to solve it.
Answer on first question: both variants are possible. The sentence from manual that you mention means that sometimes in-core version of PARDISO could use HDD in swop and provide better performance than OOC PARDISO. As about second question: it does depend from version of MKL you used. If you use 10.2 update 2 of latter version then OOC PARDISO version is parallelized
With best regards,