Basic Windows Message loop

Common wisdom is to construct a game's message pump as some flavor of this:

	MSG msg = { 0 };

	while(msg.message != WM_QUIT)
	{
		if(PeekMessage(&msg, NULL, 0, 0, PM_REMOVE))
		{
			TranslateMessage(&msg);
			DispatchMessage(&msg);
		}
		else
		{
			Update();
		}
	}

Does this still make sense with modern multi-threaded engine design?  Might it not be better to use GetMessage instead of PeekMessage, which blocks until a message is received, and let a separate thread(s) handle all the game logic/rendering?  Then the actual window handling can't get hung up by the rendering, and the rendering doesn't get potentially hiccuped by windows events…