thread milling (generation of helical paths with lead in and out)?
Ken, (this is like talking to myself)

Yes it does.
Presently it does not directly support 4 axis, but this is as I understand it in Beta and well on the way for inclusion in the appropriate OneCNC XR series. What you are referring too sounds more like a 5th axis operation but I cannot say for sure, three axis is my limit and has my full attention right now