Am I correct in saying that for Web Applications the web container takes care of multi-threading?
Most webservers (Java and otherwise, including JBoss) follow a "one thread per request" model, i.e. each HTTP request is fully processed by exactly one thread. This thread will often spend most of the time waiting for things like DB requests. The web container will create new threads as necessary.
Some servers (in the Java ecosystem primarily Netty) do asynchronous request handling, either with a "one thread does everything" model, or something more complex. The basic idea there is that having lots of waiting threads wastes resources, so working asynchronously can be more efficient.
If so, can I introduce new treads in a Web Based applications?
It's possible, but should be done very carefully, since errors (like memory leaks or missing synchronization) can cause bugs that are very hard to reproduce, or bring down the whole server.
Is there any advantage in doing so and in what scenario one would need to do that?
Well, the advantage is that you can do stuff in parallel. Using threads to improve pure computational speed is something you should not do on a webserver, as it would slow down the handling of other requests. That kind of thing should be done on a separate server, probably using some sort of job queue.
A legitimate scenario for multithreading in the context of handling an HTTP request might be if you need to access other network resources, e.g. call several different web services. If you do it in a single thrad, you have to wait for each call to finish in turn. But if you use multiple threads, the total waiting time is only the delay of the single slowest call.