You should read the documentation (their emphasis):

An important thing to note is that the proxy is ... a forking proxy:

Update: I just realised that there is no mention of which OS you're running under, so the Win32 explanation might not be the right one for you. I think the solution remains the same though.

It forks for each new connection. Under Win32, fork is emulated using threads. That's where your "extra' threads come from.

If you want to run two forking proxies concurrently on different ports, you should probably run two separate processes per the synopsis.