To clarify, wade.preloadScene runs ins the same thread as everything else. Nothing in wade is multi-threaded.
However, wade has its own update loop, so 60 times per second (by default) it will update the simulation and render your game in the canvas(es) that you are using.
While you are loading assets, the simulation is paused and the rendering is paused too, so the canvas will not be updated. But if you preload assets (e.g. using wade.preloadScene), then simulation and rendering are not paused while loading. This does not mean that the loading happens on a different thread.
If you are not displaying the wade canvas while loading, you can use either loadScene or preloadScene, it won't make any difference.
What exactly are your requirements, what are you trying to achieve?