Actually, I take that back

Split transfers via AppleScript was supported since version 1.5.0.
The confusion here is that you're talking about issuing several AppleScript commands in a row, without waiting for the result of them, so that you get several files transferring at once. The problem is that Yummy will only return a result from each AppleScript command once the action has been completed - in this case, the transfer completes or errors. Each AppleScript command is executed sequentially. This is why you get one file transferred at a time.
My definition of split transfers is where you transfer a selection of files and they get spread across multiple connections. If you can change your AppleScript to say
download "*"
rather than
download "file1"
download "file2"
download "file3"
then all the server files will be transferred in one go and then multiple connections will be used.
If there are items you would like not to be transferred, you could set up filters (Listing menu -> Filters) to include only your files, or exclude all others.
I hope this helps
-Jason