My understanding is that since jocaml uses the regular ocaml runtime, it 
is also not multicore enabled.

Haskell is a functional language that has good performance that can use 
multiple processors, but the learning curve is steeper and higher.

OCaml is a close relative of Standard ML, so there might be some 
implementation of SML that you like. MLTon might allow multicore use, 
but I'm not sure how mature it is. SML/NJ has a library or language 
extension called Concurrent ML, but I think SML/NJ might not use 
multiple processors.

Note that if you're not using a lot of threads, you can use Unix.fork to 
do true multithreaded programming ocaml.