The answer is straight forward Jim, to the best of my knowledge.
Assuming you decided to store RAW plus some kind of JPEG, and have the XQD card slot set to "primary," plus the CF card slot set to "RAW primary, JPEG secondary," it's a multi step process in the D4. (You could have the card slots reversed as to primary and secondary, from my example, which would change the file locations in the below example.)
After making the image, the D4 processes the image to create the JPG thumbnail which is embedded in the RAW file, then writes the RAW file to the XQD card, then processes the image to a full JPEG file at its reduced bit depth, then writes the JPEG file to the CF card. It's sequential. The D4 must first process the image to the settings you've chosen for JPEG files, before it can store the JPEG image.
The whole process is done very fast in the D4.
(Please note, I did a quick test of RAW + JPG Fine, and found the times additive. This conforms to what Lindwood found with RAW + RAW.)