Simple question...why MTVU in some games don't work in software mode and instead work in hardware mode (example: Dragonball Z Budokai Tenkaichi 3 [U], Killzone [E], Need for Speed Most Wanted [E], Rayman 3 Hoodlum Havoc [E], I Ninja [U])?
I don't know for sure, but a good guess would be that it sometimes relies on a hack used in GSDX hardware mode, that doesn't get used in software mode.
MTVU is an emulator's core feature, it attempts to multithread the VUs processing at CPU level. It's functionality depends on how the game's code is using the VUs, sometimes MTVU may help a lot and sometimes can worsen the performance or even break things.
PS: Notice it is not the same as the GSDX plugin software mode multithread feature. I'm not sure of the mechanics involved when both the plugin and the emulator's core are trying to get free CPU cores.