HAVE_THREADS is highly experimental at the moment, and being actively changed daily. I doubt it happened to be in a working state at the time 1.2.1 was prepared. You might have luck with the current head of the tree, but you’ll probably be better off waiting for an official announcement of threading support (for instance, in Panda3D version 1.3).
However, if you like living on the bleeding edge, feel free to get the CVS version and try it there.