It should also automagically install Visual Studio, write the callback wrapper, compile it into a DLL and connect it to the VI with a CLFN. Moreover it would be nice to have a .NET translator from textual code to G code, as the current way of calling .NET assemblies is too awkward. It may take 10 minutes to find a good combination of Assembly -> Constructor -> Method/Property, especially when dealing with the OS native API.
Aside from what is in the Help, I don't know how the Threads option works. From what I can tell, it does not seem to have much (any?) effect inside a parallel loop. I tend to use it for large 3D arrays, so it makes a substantial difference.