The routines for preconditioners are not multithreaded. If you believe, it is important for you to have these routines multithreaded, please file a QUAD via https://premier.intel.com and provide motivation for you request. Thank you!
7 years later, I checked with MKL 11.3.1, and dcsrilu0 runs with 1 thread on a matrix with 70,000 equations and 2,000,000 non-zero elements. Is this routine still single-threaded, or is there a flag/environment variable to enable multi-threading in LU preconditioners?
ILU0 and ILUt implemented sequentially because parallel implementation provided a bit different matrix. However triangular solver for these matrices became parallel starting from MKL 11.3