It is true that the max threads for MDB instances are application server specific, but for WAS, if you are using MQ as the message provider, there is a custom property called maxPoolDepth will do the trick. WorkManager is irrelevant here - it is configured by Pega to process all the async requests (batch/agent/async loading etc).

maxPoolDepth

The maximum number of server sessions in the server session pool used by a connection consumer. When a server session is created, it starts a conversation with a queue manager. The connection consumer uses a server session to deliver a message to an MDB. A larger pool depth allows more messages to be delivered concurrently in high volume situations, but uses more resources of the application server. If many MDBs are to be deployed, consider making the pool depth smaller in order to maintain the load on the application server at a manageable level. Each connection consumer uses its own server session pool, so that this property does not define the total number of server sessions available to all connection consumers.