Ivan K added the comment:

Sorry, forget to answer.

I think I know the reason.

Issue I think placed inside ATLAS library.
Issue not reproducable on Mac OS X because it's have a bit different thread 
model.

The only single platform is Linux (not tested on Windows btw). So main guess 
right now that this code fail if scikit-learn are compiled against a 
singlethread ATLAS. Then paralleling code brokes.

However there is very few information regarding how to build it with 
Multithreaded ATLAS so I'm still not 100% confident.

----------
status: closed -> open

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Python tracker <rep...@bugs.python.org>
<http://bugs.python.org/issue21162>
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