Content can be loaded on another thread, but at this stage we cannot guarantee it won't cause hard-to-find issues. Many games have used thread loading successfully.
The support and performance of threaded loading does vary across platforms. The DirectX platforms have far better performance loading GPU resources on another thread than any of the OpenGL platforms due to the single threaded nature of OpenGL.
The ContentManager class itself is threadsafe, and the content readers supplied with MonoGame should be ok as well.
It can be done, but keep in mind that it is not something that has been rigourously tested and verified.