Emulator

No, i just use the emulators and that's why i don't understand why PCSX2 gave all the work to the CPU.

The GPU have been improved a lot since a few years ago so yes, i guess it could help to don't overload the CPU with process that the GPU can handle. However, there should be a reason why emu developers don't do it; maybe it can't be used; i am not sure.

For old graphics cards GPU is too much dedicated and specific to be use as a general purpose GPU (aka GPGPU).

Keep in mind GPU is a general term to speak about a set of graphics processors working in parallel so you cannot simply decide to recompile a mono-core program into a myriad of small independent programs to run through a GPGPU due to their different nature and goal. It would be totally inefficient because of the overhead implied by calling GPU kernel functions one after one in a CPU function since it's the way a mono-core program is running. So you'd better have a dedicated thread to interpret or to execute recompiled code. Having another thread dedicated to a sound synthesizer, another thread to emulate a GPU using OpenGL/DirectX, another thread to do IO operations, etc.
Having those threads be handled by all the cores of the CPU so you make their dedicated tasks as much in parallel as possible.

The efficiency of multi-tasked program is another challenge because it is not an easy job to find the best way to run smoothly all the threads with efficient synchronization (for instance, abusing mutexes tends to be counter-productive; that is the reason why I mostly avoid them). Now try to be portable in several platforms, your will lose your hair.