The better question is why aren't you using four Pentium Pros? For the ultimate, nothing ever is going to use this, retro build.
I can understand the want to put a load of old CPUs on a board, but there is no practical reason to do so.
Nothing up until the 21st century really used multi-threading for anything other than server and heavy workstation needs. You definitely won't find any games to take advantage of it, and you will also need to use the NT Kernel, so most DOS games are out the window unless you dual boot.
If you want a multi-CPU machine with purpose, get something a bit newer, among the Pentium 4 era of CPUs. That's when multiple threads started to actually do something in gaming, and where DOS was just something the OG VOGONS users squabbled about.