Since FL is single-thread only it can only utilize one core/thread at a time. No matter how many you select only one is used.
By default all cores are selected to give the system a choice where to run it.
FL is single-threaded, but this thread is always assigned to execute on Core #0 by default (contrary to last statement above).
Sometimes, soon after launching MP, the Freelancer.exe process starts to stress this core at 100%, and the game becomes laggy. That can be fixed by setting the CPU affnity for Freelancer.exe to all cores in the Task Manager. After this change, the CPU remains stressed by the amount corresponding to 1 logical core (e.g. 12.5% load on my 4C/8T CPU), but the load jumps continuosly from one core to another as seen in the Task Manager. The game runs smooth then, even though the CPU load is the same.
This high CPU usage does not occur every time, but often starts on next MP launch after a game crash, after logging out in space or after switching IDs. It was especially bad in CF 1.9 (high CPU load almost every time) and became much rarer in CF 2.0. Also, it is different from the normal CPU usage by Freelancer: normally the load drops to nearly 0% when the game is minimized, but in these cases it always stays at maximum.
Hope this clarifies what Apache was talking about.