Yes, there would definitely be "complications" to resolve and lots of testing to make the DLL engine multi-threaded. It is something that I'd like to do, but other things have had higher priority because the quality of syntax checking is more important than Batch Wizard speed.
Your suggestion might work for local files and folder targets, but for many, they enter a URL target and spider the site. The pages need to be validated to extract the links to follow & check, so I don't believe it would work in that case because the number of documents to check is unknown until the job is completed.
I'm going to see if I can do anything about this issue in v12, but it would be after other features are added that I consider to be 'higher priority', but I hope a solution can be found to help speed up your Batch Wizard jobs.
What about the 'Limit to documents modified within this number of days' option (for folder targets)? Do you use that option?