I have a hypothesis that being dynamic has no particular effect on the complexity of multithreading. I think the apparent effect is a combination of two things: 1. All our dynamic scripting languages in modern use date from the 1990s before this degree of threading was a concern for the languages and 2. It is
really hard to retrofit code written for not being threaded to work in a threaded context, and the "deeper" the code in the system the harder it is. Something like CPython is about as "deep" as you can go, so it's really, really hard.
I think if someone set out to write a new dynamic scripting language today, from scratch, that multithreading it would not pose any particular challenge. Beyond that fact that it's naturally a difficult problem, I mean, but nothing special compared to the many other languages that have implemented threading. It's all about all that code from before the threading era that's the problem, not the threading itself. And Python has a loooot of that code.