Yes, key frames are fully encoded, and some delta frames are based on the previous frame (which could be keyframe or another delta frame). Some delta frames (b-frames) can be based on next frame instead of previous. That's why sometimes you could have a visual glitch and mess up the image until the next key frame.

I'd assume if each thread is working on its own key frame, it would be difficult to make b-frames work? Live content also probably makes it hard.