The windows binaries of hdf5 are not built with parallel enabled, and parallel builds have not been internally tested. Also until the release of 1.8.7 there was a bug in the CMake parallel build for the library. Full support for building hdf5 with CMake is targeted for 1.8.7.
We're having trouble using the parallel dump functionality with our built copy of hdf5-1.8.6 on 32-bit Windows. We get consistent crashes and are wondering if our CMake configuration is wrong: