Document that parallel pathfinder paths require threading

[jgabry]

Submission Checklist

• Run unit tests
• Declare copyright holder and agree to license (see below)

Summary

Documents that parallel pathfinder paths require threading

Copyright and Licensing

Please list the copyright holder for the work you are submitting
(this will be you or your assignee, such as a university or company):
Jonah Gabry

By submitting this pull request, the copyright holder is agreeing to
license the submitted work under the following licenses:

• Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
• Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)

[codecov-commenter]

Codecov Report

✅ All modified and coverable lines are covered by tests.
✅ Project coverage is 91.76%. Comparing base (f65ee8d) to head (b236383).
⚠️ Report is 3 commits behind head on master.

Additional details and impacted files

@@            Coverage Diff             @@
##           master    #1216      +/-   ##
==========================================
- Coverage   91.76%   91.76%   -0.01%     
==========================================
  Files          15       15              
  Lines        6253     6252       -1     
==========================================
- Hits         5738     5737       -1     
  Misses        515      515              

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