Yes, you can have multiple copy operating running in parallel but the way Windows works, the files themselves are copied in serial order (within an individual copy operation). Whereas with tools like RichCopy, you are actually copying multiple files in parallel.
See here for example; http://msinetpub.vo.llnwd.net/d1/keithcombs/blog/images/Rich...
This is incredibly useful when you need to copy folders with a lot of (smaller) files. Think pictures, music, etc.