I've had exactly the same thing with Oblivion actually. It doesn't make full use of my dual cores like i expected it would.
If I remember rightly what I read on the AMD site when downloading there AMD Power Monitor the values shown for the individual cores isn't the true usage, its an average value that is divided between the core usage displays. I peformed an experiment running a single threaded process that would thrash a single core and true to form it displayed as a 'balance' (not even balance) of usage between the two cores. i.e. that a single threaded application usage would appear accross both core usage displays and this didn't suggest that the single process work load was being shared amongst the cores.
My point is that a big deal was made about Oblivion being multi-threaded, but it has all the hallmarks of a single threaded game. I think technically they are probably correct, there are 12 threads when the game runs, but its how well they distributed the main processing load amongst the cores that matters and as far as i can see only one thread is taking the brunt of the processing workload.
I did several experiments to try and see whether it was my graphics card that was the bottle neck, as its only an X850 XT. So i set everything to the lowest.. detail, resolution everything so that the cpu would be more the cause of a bottle neck than the card. But exactly the same cpu work load was shown. Even under intense fighting and showing huge panoramic views from a hill and in the middle of a city with dozens of npc active on screen.. the cpu load remained the same. Bottomed out thrashing one core at an average of just over 50%.
In my opinion Oblivion doesn't deserve to truely call itself multi-threaded as i would expect a truely 'from the ground up' multi-threaded title to make FULL use of both cores! The only aspect where it might suggest multi-threaded is when it streams loading the next section without pausing. But thats hardly enough to call it multi-threaded.
As an aside, Oblivion isn't that much different to Morrowind fundamentally. Its not a revolution in RPG and in my opinion doesn't deserve its hype to be called 'next-generation'.