I don't know much about MzScheme, but it's quite possible that "thread" means "stack", not "OS thread". One context stack per TCP connection is quite sustainable; with Haskell's threads and Perl's coros, I run out of fds long before I'm using any significant amount of memory. (This is somewhere around 30,000 open connections on my un-tweaked Linux desktop. I know I can do a lot more if I tried.)
The issue, in the case of HN, is with O(n) IO watchers. Most sockets are idle most of the time, so you really want an algorithm that is O(n) over active sockets, not O(n) over active and inactive sockets. You typically have so few active fds at any time that the n is really tiny, making massively scalable network servers trivial to write. But you also have a lot of connections at any one time, so if you are O(n) over active and inactive fds, then you are going to have performance issues. Basically, you don't want to pay for connections that aren't doing anything.
Fortunately, we have the technology; epoll on Linux, kqueue on BSDs, /dev/poll on Solaris. You just need to use an event loop, so it does all the hard stuff for you (and so you don't have to worry about the OS differences). Hacking a proper event loop into MzScheme may be hard, but it's absolutely necessary for writing scalable network servers. Handling 10k+ open connections is trivial with today's technology. And, all the cool kids are doing it (node.js, GHC, etc.).