Since I have the pro version, could I use .NET http classes in a dll to perform all my http connection functionality for the webplayer build?
Also, I am not sure how well can threads be handled when I need to call them from coroutines…
System.Web?
No, you can’t use it.
Assemblies (dll you did in the outside) don’t come along with a frameworks, so whatever you have included with “using” will be used from the unity installation and if not present it will fail, so no, something thats not present in the webplayer frameworks can not be used, no matter where you try to use it 
I am referring to System.Net and specifically HttpListener.
It seems to be available for using.
But I am asking if I can use it, since I noticed in the forum more then a couple of posts saying you should only use the WWW class for http in unity wbplayer since the webplayer has troubles with the http classes.
Oh, and also, since I need to use threads I am wondering whether the use of threads in a dll will make it any less prone to troubles such as the “too many root sets” issue.
The webplayer builds use a special, streamlined version of the system assemblies. These don’t include the regular http classes, which is why you have to use WWW.
WWW can be used asynchronously, afaik, so you should be able to avoid using threads. Still, you could run into trouble if you make too many calls at the same time, I’d say.