True, but Matlab has good support for distributed computing. It's even possible to do this on an EC2 cluster. Pretty impressive really: http://www.mathworks.com/programs/techkits/ec2_paper.html

edit: Cleaned up my bad grammar.

There is the multicore package:

http://cran.r-project.org/web/packages/multicore/index.html

My worry with parallel loops in R would be inadvertent race conditions. For example, is the random number generator in R thread safe? I doubt it.