First part: You are correct. Nearly all PB apps are single-threaded. This "main" thread not only executes the code in the app, but also has to handle all GUI-related work. Thus, when code from a command button's Clicked event is executing, no GUI events can be processed...Windows queues them in the active window's message queue, but the app is "preoccupied" and doesn't get a chance to check for GUI (or any other type of) messages.
Second part: It depends. Is the Apply button's code doing computational work, file I/O (copying/reading/writing), network tasks (FTP, for example), or database activity (long-running data retrieval, for instance)?
If computational work, you may be able to periodically call the PowerScript Yield() function with the loop/process. This tells PB to go check the active window's message queue and if any are present, process them. This has the potential to be dangerous; For example, if the user clicks the "X" button to close the window, or does something to start another long-running process.
Multi-threading IS possible in PB, but only for non-GUI-related tasks like computations, database retrievals, file I/O, etc. A PB app can have only one GUI execution thread. Multi-tasking is a relatively advanced topic and the standard Help materials really do not cover the subject well.
If you're interested, I've recently published two tech articles: One concerning non-responsive applications and the other on multi-tasking in PB.
First article is here:
The other is here:
Each has an accompanying example application in CodeXchange that illustrates the material being discussed.