Physics ties into fixed step scene updates and scripts, so it cannot be easily put into a thread without incurring concurrency or locking problems. Basically, while physics calculates, you don't have sensible other things to do, if you also want to run scene logic in lockstep with physics updates.
Resource background loading uses its own thread. It could use the work queue, but it was potentially simpler to do as a own thread, it sleeps most of the time anyway. So far Urho itself only uses the work queue for short-lived tasks on the same frame, like spreading culling or light processing to many cores when preparing the rendering view.