Element-wise matrix operations are multithreaded by default in your MATLAB version. In fact, this has been true since R2008a.
For your problem, it seems like X.*X is too small of a computation to see the multithreaded effect. From your System Monitor image, the whole computation took about 20 seconds, which means that each loop (X.*X) is taking only about 0.2 seconds, so that's not long enough to see the effect. Note that for-loops are not multithreaded. To see the effect, you need to be looking at a long (single) computation. Try something like
or something like that.