Yes, the debugger supports multi-threaded applications.
Which specific version of RedHat are you interested in running on?
There are pre-compiled versions for Fedora 7 and 8 and Centos (which is a community-developed clone of RedHat Enterprise) available for download here:
http://www.zero-bugs.com/8001/beta.html. It is not the most up-to-date code, but you can use them for a test drive or let me know what your specific needs are and I can try to produce a build to accommodate your business needs.
And yes, you run the debugger with a remote X display. In your case you will need an X Server for Windows.
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