Arnold is a CPU renderer. MAXtoA does not use GPUs.
Have you tried disabling Auto Threads? You can then set the number of threads for rendering manually. This may make the UI more responsive while rendering.
No. You cannot assign cores or CPUs to different parts of 3ds Max
ActiveShade is used for rendering. It is not clear what you are trying to achieve. Could you elaborate please.
If what you want is for max to be more responsive while using the active shade mode, you can do the following,:
go to render settings, in the system tab disable auto threads then you can choose how many cores you want to assign to the render the rest will be free to let you move your lights or change your materials, etc.
optionally you can use a negative number to set how many free cores you want.
hope this helps